Books

Books

The featured books include more than fifty books in all areas of fixed income including basic fixed income, interest rate modeling, credit risk modeling, and fixed income structured products. The books are rated on quantitative sophistication, categorized using a user-friendly classification system, and have forums for online discussions. Some books also have online resources such as sample chapters, slides, and Excel/VBA software files.

T1. Basic Fixed Income

Interest Rate Risk Modeling: The Fixed Income Valuation Course – Nawalkha, Soto, Beliaeva

  • Level: Basic+
  • Major Topics: T11, T15
  • Minor Topics: T12, T23, T26, T32

Fixed Income Securities: Tools for Today’s Markets - Tuckman

  • Level: Basic+
  • Major Topics: T11
  • Minor Topics: T12, T22, T42

The Handbook of Fixed Income Securities - Fabozzi

  • Level: Basic+
  • Major Topics: T12, T15
  • Minor Topics: T11, T14, T22, T26, T31, T34, T41, T42, T43

[14 books]

T2. Models of Interest Rates

Dynamic Term Structure Modeling: The Fixed Income Valuation Course - Nawalkha, Beliaeva, Soto

  • Level: Intermediate
  • Major Topics: T22, T21, T23
  • Minor Topics: T11, T12, T32, T33

Interest Rate Models - Theory and Practice, with Smile, Inflation, and Credit - Brigo, Mercurio

  • Level: Advanced
  • Major Topics: T23, T21, T22, T24, T32
  • Minor Topics: T11, T12, T31, T33

Modern Pricing of Interest Rate Derivatives - Rebonato

  • Level: Intermediate
  • Major Topics: T23, T21
  • Minor Topics: T24

[11 books]

T3. Models of Credit Risk and Other Risks

Credit Risk Modeling using Excel and VBA - Loeffler, Posch

  • Level: Intermediate+
  • Major Topics: T31, T32, T36, T37
  • Minor Topics: T33, T38, T44

Credit Risk and Return Modeling: The Fixed Income Valuation Course – Nawalkha, Beliaeva, Soto

  • Level: Intermediate
  • Major Topics: T32, T31, T33
  • Minor Topics: T34, T37, T38, T44

Credit Risk: Pricing, Measurement, and Management - Duffie, Singleton

  • Level: Intermediate+
  • Major Topics: T31, T32, T33, T36
  • Minor Topics: T34, T37, T44

[20 books]

T4. Fixed Income Structured Products

Securitization: The Financial Instrument of the Future - Kothari

  • Level: Basic
  • Major Topics: T41, T42, T43, T44
  • Minor Topics: T33, T45, T46

The Structured Credit Handbook – Rajan, McDermott, Roy

  • Level: Basic
  • Major Topics: T44, T45
  • Minor Topics: T41, T42, T43

The Handbook of Structured Finance –Servigny, Jobst

  • Level: Intermediate
  • Major Topics: T44
  • Minor Topics: T31, T32, T33, T41, T42, T43, T45, T46

Introduction to Structured Finance – Fabozzi, Davis, Choudhry

  • Level: Basic+
  • Major Topics: T41, T44
  • Minor Topics: T22, T23, T43, T45, T49

Structured Finance Modeling With Object-oriented VBA – Tick

  • Level: Intermediate
  • Major Topics: T41
  • Minor Topics: T42, T43, T44, T45, T49

Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide - Allman

  • Level: Basic+
  • Major Topics: T41
  • Minor Topics: T31, T43, T44, T49

The Handbook of Mortgage-Backed Securities - Fabozzi

  • Level: Basic+
  • Major Topics: T42
  • Minor Topics: T41

Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities - Hayre

  • Level: Basic+
  • Major Topics: T42, T43
  • Minor Topics: T41, T44

Credit Derivatives: The Definitive Guide - Gregory

  • Level: Intermediate
  • Major Topics: T33, T44
  • Minor Topics: T32, T37, T41, T43, T45, T46

Credit Derivatives CDOs & Structured Credit Products - Das

  • Level: Basic
  • Major Topics: T33, T41, T44
  • Minor Topics: T38, T43, T45

Collateralized Debt Obligations: Structures and Analysis - Lucas, Goodman, Fabozzi

  • Level: Basic
  • Major Topics: T44
  • Minor Topics: T31, T41

Global Securitisation and CDOs - Deacon

  • Level: Basic
  • Major Topics: T41, T44
  • Minor Topics: T38, T42, T43, T46