|  | Fabozzi, Frank J. / Martellini, Lionel / Priaulet, Philippe
Advanced Bond Portfolio Management
Best Practices in Modeling and Strategies
Frank J. Fabozzi Series
 1. Auflage - Januar 2006
73,90 Euro
2006. 558 Seiten, Hardcover
- Praktikerbuch -
ISBN-10: 0-471-67890-2
ISBN-13: 978-0-471-67890-8 - John Wiley & Sons
Preis inkl. Mehrwertsteuer zzgl. Versandkosten.
Kurzbeschreibung
Advanced Bond Portfolio Management fills the void in this subject area by focusing on what other books lack--how to use modeling techniques to develop and construct bond portfolio strategies. Active and structured portfolio strategies are discussed along with real world applications, so that the reader can learn how the strategy is applied and understand the issues associated with implementation of the strategy. Advanced Bond Portfolio Management carefully balances theory, practice, and implementation, and offers readers supplements to the mathematical analyses found throughout the book.
Aus dem 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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