Advanced bond portfolio management: best practices in modeling and strategies
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2006
|
| Schriftenreihe: | The Frank J. Fabozzi series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVIII, 558 S. graph. Darst. |
| ISBN: | 0471678902 9780471678908 |
Internformat
MARC
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| 245 | 1 | 0 | |a Advanced bond portfolio management |b best practices in modeling and strategies |c Frank J. Fabozzi ... ed. |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2006 | |
| 300 | |a XVIII, 558 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a The Frank J. Fabozzi series | |
| 650 | 4 | |a Gestion de portefeuille | |
| 650 | 4 | |a Obligations (Valeurs) | |
| 650 | 4 | |a Bonds | |
| 650 | 4 | |a Portfolio management | |
| 650 | 0 | 7 | |a Schuldverschreibung |0 (DE-588)4180132-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfoliomanagement |0 (DE-588)4115601-8 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Schuldverschreibung |0 (DE-588)4180132-5 |D s |
| 689 | 0 | 1 | |a Portfoliomanagement |0 (DE-588)4115601-8 |D s |
| 689 | 0 | |C b |5 DE-604 | |
| 700 | 1 | |a Fabozzi, Frank J. |d 1948- |e Sonstige |0 (DE-588)129772054 |4 oth | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Preface ix
About the Editors xv
Contributing Authors xvii
PART ONE
Background 1
CHAPTER 1
Overview of Fixed Income Portfolio Management 3
Frank J. Jones
CHAPTER 2
Liquidity, Trading, and Trading 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
Vi Contents
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
Ludovic 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 Priaulet, Frank J. Fabozzi, and Michael Luo
CHAPTER 12
Scenario Simulation Model for Fixed Income Portfolio Risk Management 291
Farshid Jamshidian and Yu Zhu
Contents V«
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 Hjort,
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 Merlon 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 Multicurrency Bond Portfolio 445
Srichander Ramaswamy and Robert Scott
ViH Contents
CHAPTER 20
A Disciplined Approach to Emerging Markets Debt Investing 479
Maria Mednikov Loucks, John A. Penicook, Jr., and Uwe Schillhorn
INDEX 533
|
| adam_txt |
Contents
Preface ix
About the Editors xv
Contributing Authors xvii
PART ONE
Background 1
CHAPTER 1
Overview of Fixed Income Portfolio Management 3
Frank J. Jones
CHAPTER 2
Liquidity, Trading, and Trading 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
Vi Contents
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
Ludovic 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 Priaulet, Frank J. Fabozzi, and Michael Luo
CHAPTER 12
Scenario Simulation Model for Fixed Income Portfolio Risk Management 291
Farshid Jamshidian and Yu Zhu
Contents V«
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 Hjort,
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 Merlon 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 Multicurrency Bond Portfolio 445
Srichander Ramaswamy and Robert Scott
ViH Contents
CHAPTER 20
A Disciplined Approach to Emerging Markets Debt Investing 479
Maria Mednikov Loucks, John A. Penicook, Jr., and Uwe Schillhorn
INDEX 533 |
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| illustrated | Illustrated |
| index_date | 2024-07-02T13:18:28Z |
| indexdate | 2024-07-09T20:26:30Z |
| institution | BVB |
| isbn | 0471678902 9780471678908 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014168336 |
| oclc_num | 63286727 |
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| owner_facet | DE-355 DE-BY-UBR DE-1102 DE-703 |
| physical | XVIII, 558 S. graph. Darst. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Wiley |
| record_format | marc |
| series2 | The Frank J. Fabozzi series |
| spelling | Advanced bond portfolio management best practices in modeling and strategies Frank J. Fabozzi ... ed. Hoboken, NJ Wiley 2006 XVIII, 558 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi series Gestion de portefeuille Obligations (Valeurs) Bonds Portfolio management Schuldverschreibung (DE-588)4180132-5 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Schuldverschreibung (DE-588)4180132-5 s Portfoliomanagement (DE-588)4115601-8 s b DE-604 Fabozzi, Frank J. 1948- Sonstige (DE-588)129772054 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014168336&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Advanced bond portfolio management best practices in modeling and strategies Gestion de portefeuille Obligations (Valeurs) Bonds Portfolio management Schuldverschreibung (DE-588)4180132-5 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4180132-5 (DE-588)4115601-8 |
| title | Advanced bond portfolio management best practices in modeling and strategies |
| title_auth | Advanced bond portfolio management best practices in modeling and strategies |
| title_exact_search | Advanced bond portfolio management best practices in modeling and strategies |
| title_exact_search_txtP | Advanced bond portfolio management best practices in modeling and strategies |
| title_full | Advanced bond portfolio management best practices in modeling and strategies Frank J. Fabozzi ... ed. |
| title_fullStr | Advanced bond portfolio management best practices in modeling and strategies Frank J. Fabozzi ... ed. |
| title_full_unstemmed | Advanced bond portfolio management best practices in modeling and strategies Frank J. Fabozzi ... ed. |
| title_short | Advanced bond portfolio management |
| title_sort | advanced bond portfolio management best practices in modeling and strategies |
| title_sub | best practices in modeling and strategies |
| topic | Gestion de portefeuille Obligations (Valeurs) Bonds Portfolio management Schuldverschreibung (DE-588)4180132-5 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Gestion de portefeuille Obligations (Valeurs) Bonds Portfolio management Schuldverschreibung Portfoliomanagement |
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