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1557697 Fabozzi, Frank J.; Martellini, Lionel; Priaulet, Philippe:
Advanced Bond Portfolio Management
Best Practices in Modeling and Strategies
Preis:   € 73,90

Reihe: Frank J. Fabozzi Series, Einband: Gb
Auflage: 1. Auflage
Verlag: John Wiley & Sons
Erscheinungsdatum: 01/2006
Seiten: 558 S.

ISBN-10: 0-471-67890-2   
ISBN-13: 978-0-471-67890-8


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Beschreibung
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:
* General background information on fixed-income markets and bond portfolio strategies
* The design of a strategy benchmark
* Various aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process
* Interest rate risk and credit risk management
* Risk factors involved in the management of an international bond portfolio
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.
Inhalt
Preface.
About the Editors.
About the Authors.
PART ONE: BACKGROUND.
Chapter 1. Overview of Fixed Income Portfolio Management.
Chapter 2. Liquidity, Trading, and Trading Costs.
Chapter 3. Portfolio Strategies for Outperforming a Benchmark.
PART TWO: BANCHMARK SELECTION AND RISK BUDGETING.
Chapter 4. The Active Decisions in the Selection of Passive Management and Performance Bogeys.
Chapter 5. Liability-Based Benchmarks.
Chapter 6. Risk Budgeting for Fixed Income Portfolios.
PART THREE: FIXED INCOME MODELING.
Chapter 7. Understanding the Building Blocks for OAS Models.
Chapter 8. Fixed Income Risk Modeling.
Chapter 9. Multifactor Risk models and Their Applications.
Chapter 10. Measuring Plausibility of Hypothetical Interest Rate Shocks.
Chapter 11. Hedging Interest Rate Risk with Term Structure Factor Models.
Chapter 12. Scenario Simulation Model for Fixed Income Portfolio Risk Management.
PART FIVE: CREDIT ANALYSIS AND CREDIT RISK MANAGEMENT.
Chapter 13. Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis.
Chapter 14. An Introduction to Credit Risk Models.
Chapter 15. Credit Derivatives and Hedging Credit Risk.
Chapter 16. Implications of Merton Models for Corporate Bond Investors.
Chapter 17. Capturing the Credit Alpha.
PART SIX: INTERNATIONAL BOND INVESTING.
Chapter 18. Global Bond Investing for the 21st Century.
Chapter 19. Managing a Multicurrency Bond Portfolio.
Chapter 20. A Disciplined Approach to Emerging Markets Debt Investing.
Index.
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