Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies by

The Nile on eBay   Advanced Bond Portfolio Management by Frank J. Fabozzi, Philippe Priaulet, Lionel Martellini

Indexing, Structured, and Active Bond Portfolio Management is a new and comprehensive fixed income book focused on the implementation of fixed income strategy. Key analytical concepts are tied to implementation through the use of data services such as Bloomberg.

FORMATHardcover LANGUAGEEnglish CONDITIONBrand New Publisher Description

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 strategiesThe design of a strategy benchmarkVarious aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management processInterest rate risk and credit risk managementRisk 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.

Back Cover

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.

Flap

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.

Author Biography

Frank J. Fabozzi, PhD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and a Fellow of the International Center for Finance. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School at MIT. He is the Editor of the Journal of Portfolio Management. Lionel Martellini, PhD, is Professor of Finance at EDHEC Graduate School of Business in France and the Scientific Director of EDHEC Risk and Asset Management Research Centre. A former member of the faculty at the Marshall School of Business, University of Southern California, he holds Master's Degrees in Business Administration, Economics, Statistics, and Mathematics, as well as a PhD in Finance from the Haas School of Business, University of California, Berkeley. Philippe Priaulet, PHD, is the Head of Global Strategy at Natexis Banques Populaires. He is also an Associate Professor in the Department of Mathematics at the Université of Evry Val d'Essonne. He holds Master's Degrees in Business Administration and Mathematics as well as a PhD in Financial Economics from the Université Paris IX Dauphine.

Table of Contents

Preface ix About the Editors xv Contributing Authors xvii PART ONE Background 1 CHAPTER 1 Overview of Fixed Income Portfolio Management 3Frank J. Jones CHAPTER 2 Liquidity, Trading, and Trading Costs 21Leland E. Crabbe and Frank J. Fabozzi CHAPTER 3 Portfolio Strategies for Outperforming a Benchmark 43Bülent Baygün 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 65Chris P. Dialynas and Alfred Murata CHAPTER 5 Liability-Based Benchmarks 97Lev Dynkin, Jay Hyman, and Bruce D. Phelps CHAPTER 6 Risk Budgeting for Fixed Income Portfolios 111Frederick E. Dopfel PART THREE Fixed Income Modeling CHAPTER 7 Understanding the Building Blocks for OAS Models 131Philip O. Obazee CHAPTER 8 Fixed Income Risk Modeling 163Ludovic Breger and Oren Cheyette CHAPTER 9 Multifactor Risk Models and Their Applications 195Lev Dynkin and Jay Hyman PART FOUR Interest Rate Risk Management 247 CHAPTER 10 Measuring Plausibility of Hypothetical Interest Rate Shocks 249Bennett W. Golub and Leo M. Tilman CHAPTER 11 Hedging Interest Rate Risk with Term Structure Factor Models 267Lionel Martellini, Philippe Priaulet, Frank J. Fabozzi, and Michael Luo CHAPTER 12 Scenario Simulation Model for Fixed Income Portfolio Risk Management 291Farshid Jamshidian and Yu Zhu PART FIVE Credit Analysis and Credit Risk Management 311 CHAPTER 13 Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis 313Sivan Mahadevan, Young-Sup Lee, Viktor Hjort, David Schwartz, and Stephen Dulake CHAPTER 14 An Introduction to Credit Risk Models 355Donald R. van Deventer CHAPTER 15 Credit Derivatives and Hedging Credit Risk 373Donald R. van Deventer CHAPTER 16 Implications of Merton Models for Corporate Bond Investors 389Wesley Phoa CHAPTER 17 Capturing the Credit Alpha 407David Soronow PART SIX International Bond Investing 419 CHAPTER 18 Global Bond Investing for the 21st Century 421Lee R. Thomas CHAPTER 19 Managing a Multicurrency Bond Portfolio 445Srichander Ramaswamy and Robert Scott CHAPTER 20 A Disciplined Approach to Emerging Markets Debt Investing 479Maria Mednikov Loucks, John A. Penicook, Jr., and Uwe Schillhorn INDEX 533

Review

"Effective in presenting the mechanics of bond portfolio management for those who understand basic bond math. . . worth the price."--Financial Analysts Journal

Long Description

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.

Review Text

"Effective in presenting the mechanics of bond portfolio management for those who understand basic bond math. . . worth the price."--Financial Analysts Journal

Review Quote

"Effective in presenting the mechanics of bond portfolio management for those who understand basic bond math. . . worth the price."--Financial Analysts Journal

Details ISBN0471678902 Short Title ADVD BOND PORTFOLIO MGMT Language English ISBN-10 0471678902 ISBN-13 9780471678908 Media Book Format Hardcover Illustrations Yes Series Frank J. Fabozzi Series Imprint John Wiley & Sons Inc Subtitle Best Practices in Modeling and Strategies Place of Publication New York Country of Publication United States Edited by Lionel Martellini Edition 1st DOI 10.1604/9780471678908 Series Number 143 UK Release Date 2006-01-10 AU Release Date 2005-11-01 NZ Release Date 2005-11-01 Author Lionel Martellini Pages 576 Publisher John Wiley & Sons Inc Year 2006 Publication Date 2006-01-10 DEWEY 332.6323 Audience Tertiary & Higher Education US Release Date 2006-01-10 We've got this

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