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Advanced Bond Portfolio Management
Best Practices in Modeling and Strategies
Frank J. Fabozzi (Edited by), FJ Fabozzi (Author), Lionel Martellini (Edited by), Philippe Priaulet (Edited by)
9780471678908, Wiley
Hardback, published 10 January 2006
576 pages
23.2 x 16 x 4.5 cm, 0.798 kg
"Effective in presenting the mechanics of bond portfolio management for those who understand basic bond math. . . worth the price."--Financial Analysts Journal
In order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that. Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include: Filled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.
Preface ix About the Editors xv Contributing Authors xvii PART ONE Background 1 CHAPTER 1 Overview of Fixed Income Portfolio Management 3 CHAPTER 2 Liquidity, Trading, and Trading Costs 21 CHAPTER 3 Portfolio Strategies for Outperforming a Benchmark 43 PART TWO Benchmark Selection and Risk Budgeting 63 CHAPTER 4 The Active Decisions in the Selection of Passive Management and Performance Bogeys 65 CHAPTER 5 Liability-Based Benchmarks 97 CHAPTER 6 Risk Budgeting for Fixed Income Portfolios 111 PART THREE Fixed Income Modeling CHAPTER 7 Understanding the Building Blocks for OAS Models 131 CHAPTER 8 Fixed Income Risk Modeling 163 CHAPTER 9 Multifactor Risk Models and Their Applications 195 PART FOUR Interest Rate Risk Management 247 CHAPTER 10 Measuring Plausibility of Hypothetical Interest Rate Shocks 249 CHAPTER 11 Hedging Interest Rate Risk with Term Structure Factor Models 267 CHAPTER 12 Scenario Simulation Model for Fixed Income Portfolio Risk Management 291 PART FIVE Credit Analysis and Credit Risk Management 311 CHAPTER 13 Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis 313 CHAPTER 14 An Introduction to Credit Risk Models 355 CHAPTER 15 Credit Derivatives and Hedging Credit Risk 373 CHAPTER 16 Implications of Merton Models for Corporate Bond Investors 389 CHAPTER 17 Capturing the Credit Alpha 407 PART SIX International Bond Investing 419 CHAPTER 18 Global Bond Investing for the 21st Century 421 CHAPTER 19 Managing a Multicurrency Bond Portfolio 445 CHAPTER 20 A Disciplined Approach to Emerging Markets Debt Investing 479 INDEX 533
Frank J. Jones
Leland E. Crabbe and Frank J. Fabozzi
Bülent Baygün and Robert Tzucker
Chris P. Dialynas and Alfred Murata
Lev Dynkin, Jay Hyman, and Bruce D. Phelps
Frederick E. Dopfel
Philip O. Obazee
Ludovic Breger and Oren Cheyette
Lev Dynkin and Jay Hyman
Bennett W. Golub and Leo M. Tilman
Lionel Martellini, Philippe Priaulet, Frank J. Fabozzi, and Michael Luo
Farshid Jamshidian and Yu Zhu
Sivan Mahadevan, Young-Sup Lee, Viktor Hjort, David Schwartz, and Stephen Dulake
Donald R. van Deventer
Donald R. van Deventer
Wesley Phoa
David Soronow
Lee R. Thomas
Srichander Ramaswamy and Robert Scott
Maria Mednikov Loucks, John A. Penicook, Jr., and Uwe Schillhorn
Subject Areas: Finance & accounting [KF]
