| Description |
xviii, 558 pages : illustrations ; 24 cm |
| Series |
Frank J. Fabozzi series |
|
Frank J. Fabozzi series.
|
| Contents |
Machine derived contents note: PART ONE -- Background 1 -- CHAPTER 1 -- Overview of Fixed Income Portfolio Management 3 -- Frank J. Jones -- CHAPTER 2 -- Liquidity, Trading, and Tading Costs 21 -- Leland E. Crabbe and Frank J. Fabozzi -- CHAPTER 3 -- Portfolio Strategies for Outperforming a Benchmark 43 -- Biilent Baygiin and Robert Tzucker -- PART TWO -- Benchmark Selection and Risk Budgeting 63 -- CHAPTER 4 -- The Active Decisions in the Selection of Passive Management and -- Performance Bogeys 65 -- Chris P. Dialynas and Alfred Murata -- CHAPTER 5 -- Liability-Based Benchmarks 97 -- Lev Dynkin, Jay Hyman, and Bruce D. Phelps -- CHAPTER 6 -- Risk Budgeting for Fixed Income Portfolios 111 -- Frederick E. Dopfel -- PART THREE -- Fixed Income Modeling -- CHAPTER 7 -- Understanding the Building Blocks for OAS Models 131 -- Philip 0. Obazee -- CHAPTER 8 -- Fixed Income Risk Modeling 163 -- Ludovlc Breger and Oren Cheyette -- CHAPTER 9 -- Multifactor Risk Models and Their Applications 195 -- Lev Dynkin and Jay Hyman -- PART FOUR -- Interest Rate Risk Management 247 -- CHAPTER 10 -- Measuring Plausibility of Hypothetical Interest Rate Shocks 249 -- Bennett W. Golub and Leo M. Tilman -- CHAPTER 11 -- Hedging Interest Rate Risk with Term Structure Factor Models 267 -- Lionel Martellini, Philippe Prlaulet, Frank J. Fabozzi, and Michael Luo -- CHAPTER 12 -- Scenario Simulation Model for Fixed Income Portfolio Risk Management 291 -- Farshid Jamshidlan and Yu Zhu -- PART FIVE -- Credit Analysis and Credit Risk Management 311 -- CHAPTER 13 -- Valuing Corporate Credit: Quantitative Approaches versus -- Fundamental Analysis 313 -- SIvan Mahadevan, Young-Sup Lee, Viktor HIort, -- David Schwartz, and Stephen Dulake -- CHAPTER 14 -- An Introduction to Credit Risk Models 355 -- Donald R. van Deventer -- CHAPTER 15 -- Credit Derivatives and Hedging Credit Risk 373 -- Donald R. van Deventer -- CHAPTER 16 -- Implications of Merton Models for Corporate Bond Investors 389 -- Wesley Phoa -- CHAPTER 17 -- Capturing the Credit Alpha 407 -- David Soronow -- PART SIX -- International Bond Investing 419 -- CHAPTER 18 -- Global Bond Investing for the 21st Century 421 -- Lee R. Thomas -- CHAPTER 19 -- Managing a Multlcurrency Bond Portfolio 445 -- Srichander Ramaswamy and Robert Scott -- CHAPTER 20 -- A Disciplined Approach to Emerging Markets Debt Investing 479 -- Maria Mednikov Loucks, John A. Penicook, Jr., and Uwe Schillhorn |
| Notes |
Formerly CIP. Uk |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Bonds.
|
|
Portfolio management.
|
| Author |
Fabozzi, Frank J.
|
|
Martellini, Lionel.
|
|
Priaulet, Philippe.
|
| LC no. |
2006295679 |
| ISBN |
0471678902 (hbk.) |
|
