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Document Type: | Book |
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All Authors / Contributors: |
Frank J Fabozzi; Lionel Martellini; Philippe Priaulet |
ISBN: | 0471678902 9780471678908 |
OCLC Number: | 300866106 |
Description: | xviii, 558 pages : illustrations |
Contents: | 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. |
Series Title: | Frank J. Fabozzi series.; Wiley finance series. |
Responsibility: | Frank J. Fabozzi, Lionel Martellini and Philippe Priaulet. |
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"Effective in presenting the mechanics of bond portfolio management for those who understand basic bond math... worth the price."--Financial Analysts Journal
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