Fixed Income
Securities
VALUATION, RISK, AND RISK MANAGEMENT
Pietro Veronesi
,This page intentionally left blank
,FIXED INCOME SECURITIES
Valuation, Risk, and Risk Management
Pietro Veronesi
University of Chicago
JOHN WILEY & SONS, INC.
, VP & PUBLISHER: George Hoffman
ASSOCIATE PUBLISHER: Judith Joseph
ASSOCIATE EDITOR: Jennifer Manias
EDITORIAL ASSISTANT: Emily McGee
ASSOCIATE DIRECTOR OF MARKETING: Amy Scholz
ASSISTANT MARKETING MANAGER: Diane Mars
MARKETING ASSISTANT: Laura Finley
MEDIA EDITOR: Greg Chaput
PRODUCTION MANAGER: Micheline Frederick
SENIOR PRODUCTION EDITOR: Richard DeLorenzo
COVER DESIGNER: Madelyn Lesure
COVER PHOTO: c Ed Freeman/Riser/Getty Images
Copyright 2010
c by John Wiley & Sons, Inc. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
“P&G Sues Bankers Trust Over Swap Deal” from The New York Times, October 28, 1994 c 1994
The New York Times. All rights reserved. Used by permission and protected by the Copyright Laws
of the United States. The printing, copying, redistribution, or retransmission of the Material without
express written permission is prohibited.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any
form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise,
except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without
either the prior written permission of the Publisher, or authorization through payment of the
appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers,
MA 01923, (978) 750-8400, fax (978) 646-8600, or on the web at www.copyright.com. Requests to
the Publisher for permission should be addressed to the Permissions Department, John Wiley &
Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008.
Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best
efforts in preparing this book, they make no representations or warranties with respect to the accuracy
or completeness of the contents of this book and specifically disclaim any implied warranties of
merchantability or fitness for a particular purpose. No warranty may be created ore extended by
sales representatives or written sales materials. The advice and strategies contained herin may not be
suitable for your situation. You should consult with a professional where appropriate. Neither the
publisher nor author shall be liable for any loss of profit or any other commercial damages, including
but not limited to special, incidental, consequential, or other damages.
For general information on our other products and services please contact our Customer Care
Department with the U.S. at 877-762-2974, outside the U.S. at 317-572-3993 or fax 317-572-4002.
Wiley also publishes its books in a variety of electronic formats. Some content that appears in print,
however, may not be available in electronic format.
Library of Congress Cataloging-in-Publication Data:
Veronesi, Pietro.
Fixed income securities :valuation, risk, and risk management / Pietro Veronesi.
p. cm.
Includes bibliographical references and index.
ISBN 978-0-470-10910-6 (cloth)
1. Fixed-income securities. 2. Risk management. I. Title.
HG4650.V47 2010
658.15 5–dc22
2009043712
10 9 8 7 6 5 4 3 2 1
Securities
VALUATION, RISK, AND RISK MANAGEMENT
Pietro Veronesi
,This page intentionally left blank
,FIXED INCOME SECURITIES
Valuation, Risk, and Risk Management
Pietro Veronesi
University of Chicago
JOHN WILEY & SONS, INC.
, VP & PUBLISHER: George Hoffman
ASSOCIATE PUBLISHER: Judith Joseph
ASSOCIATE EDITOR: Jennifer Manias
EDITORIAL ASSISTANT: Emily McGee
ASSOCIATE DIRECTOR OF MARKETING: Amy Scholz
ASSISTANT MARKETING MANAGER: Diane Mars
MARKETING ASSISTANT: Laura Finley
MEDIA EDITOR: Greg Chaput
PRODUCTION MANAGER: Micheline Frederick
SENIOR PRODUCTION EDITOR: Richard DeLorenzo
COVER DESIGNER: Madelyn Lesure
COVER PHOTO: c Ed Freeman/Riser/Getty Images
Copyright 2010
c by John Wiley & Sons, Inc. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
“P&G Sues Bankers Trust Over Swap Deal” from The New York Times, October 28, 1994 c 1994
The New York Times. All rights reserved. Used by permission and protected by the Copyright Laws
of the United States. The printing, copying, redistribution, or retransmission of the Material without
express written permission is prohibited.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any
form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise,
except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without
either the prior written permission of the Publisher, or authorization through payment of the
appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers,
MA 01923, (978) 750-8400, fax (978) 646-8600, or on the web at www.copyright.com. Requests to
the Publisher for permission should be addressed to the Permissions Department, John Wiley &
Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008.
Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best
efforts in preparing this book, they make no representations or warranties with respect to the accuracy
or completeness of the contents of this book and specifically disclaim any implied warranties of
merchantability or fitness for a particular purpose. No warranty may be created ore extended by
sales representatives or written sales materials. The advice and strategies contained herin may not be
suitable for your situation. You should consult with a professional where appropriate. Neither the
publisher nor author shall be liable for any loss of profit or any other commercial damages, including
but not limited to special, incidental, consequential, or other damages.
For general information on our other products and services please contact our Customer Care
Department with the U.S. at 877-762-2974, outside the U.S. at 317-572-3993 or fax 317-572-4002.
Wiley also publishes its books in a variety of electronic formats. Some content that appears in print,
however, may not be available in electronic format.
Library of Congress Cataloging-in-Publication Data:
Veronesi, Pietro.
Fixed income securities :valuation, risk, and risk management / Pietro Veronesi.
p. cm.
Includes bibliographical references and index.
ISBN 978-0-470-10910-6 (cloth)
1. Fixed-income securities. 2. Risk management. I. Title.
HG4650.V47 2010
658.15 5–dc22
2009043712
10 9 8 7 6 5 4 3 2 1
