Fixed Income Securities: Valuation, Risk, and Risk Management

This web site contains useful links for the readers of my book Fixed Income Securities: Valuation, Risk, and Risk Management published by John Wiley and Sons in January 2010.

Typo List: Typos

Solution Manual for Students: Student Solution Manual Excel file with data for exercises

Book Home Page at Wiley: Fixed Income Securities: Valuation, Risk, and Risk Management

Additional Material for Instructors: Wiley Instructors' Companion Site. This site contains Excel spreadsheets for selected chapters (updated versions also available here), Powerpoint slides for all chapters, the solution's manual for all chapters (and related spreadsheets / codes), and a test bank. If you do not find everything on Wiley web site and/or you are interested in receiving some material in Latex / PDF, please let me know by email at pietro.veronesi@ChicagoBooth.edu.

Additional Material for Students: Wiley Students' Companion Site. This site contains a set of Excel spreadsheets related to examples in the book. (updated versions also available here)

Some Chapters Preview: Google Preview of Fixed Income Securities by Pietro Veronesi.

Useful Links for Data or Other Fixed Income Market Sources

Federal Reserve Statistical Releases: Updated weekly, this web site is a very useful source of various interest rates data.

British Bankers' Association (BBA) LIBOR Releases: This web site contains data on LIBOR fixes from the BBA.

Board of Governors of the Federal Reserve System: Research Data: This web site contains large datasets related to several fixed income markets, including the daily estimation of the US Treasury Yield Curve from 1961 to Present.

Securities Industry and Financial Markets Association (SIFMA): This web site contains information and statistics about various fixed income markets, including Treasury Debt, Mortgage Backed Securities, Corporate Debt, Structured Finance, etc. Just follow the research link.

International Swap and Derivative Association (ISDA): This web site contains very useful information about OTC derivative markets, and the OTC market practice. Very informative the latest (2009) survey on derivative usage, showing that 94% of the largest 500 firms use derivatives.

Bank for International Settlements (BIS): This web site contains research on financial markets and institutions, the Basel committee on banking supervision, statistics about OTC derivative markets, and much more.

United States Department of the Treasury: This web site contains information and links about US Treasury, including Treasury auctions, the US Federal Budget, and the Congressional Budget Office Projections.

Investing in Bonds: Market at a Glance: This web site is dedicated to Fixed Income investors. Free access to current market data.