Advanced bond portfolio management : best practices in modeling and strategies

By: Fabozzi, Frank J. (Editor)Contributor(s): Martellini, Lionel (Editor) | Priaulet, Philippe (Editor)Material type: TextTextSeries: Frank J. Fabozzi seriesPublication details: Hoboken, N.J. : Wiley, ©2006Description: xviii, 558 pages : illustrationsISBN: 9780471678908; 0471678902 Subject(s): Bonds | Portfolio management | Obligations (Values)DDC classification: 332.6
Contents:
Overview of fixed income portfolio management / Frank J. Jones -- Liquidity, trading, and trading costs / Leland E. Crabbe and Frank J. Fabozzi -- Portfolio strategies for outperforming a benchmark / Bülent Baygün and Robert Tzucker -- The active decisions in the selection of passive management and performance bogeys / Chris P. Dialynas and Alfred Murata -- Liability-based benchmarks / Lev Dynkin, Jay Hyman, and Bruce D. Phelps -- Risk budgeting for fixed income portfolios / Frederick E. Dopfel -- Understanding the building blocks for OAS models / Philip O. Obazee -- Fixed income risk modeling / Ludovic Breger and Oren Cheyette -- Multifactor risk models and their applications / Lev Dynkin and Jay Hyman -- Measuring plausibility of hypothetical interest rate shocks / Bennett W. Golub and Leo M. Tilman -- Hedging interest rate risk with term structure factor models / Lionel Martellini [and others] -- Scenario simulation model for fixed income portfolio risk management / Farshid Jamshidian and Yu Zhu -- Valuing corporate credit : quantitative approaches versus fundamental analysis / Sivan Mahadevan [and others] -- An introduction to credit risk models / Donald R. van Deventer -- Credit derivatives and hedging credit risk / Donald R. van Deventer -- Implications of Merton models for corporate bond investors / Wesley Phoa -- Capturing the credit alpha / David Soronow -- Global bond investing for the 21st century / Lee R. Thomas -- Managing a multicurrency bond portfolio / Srichander Ramaswamy and Robert Scott -- A disciplined approach to emerging markets debt investing / Maria Mednikov Loucks, John A. Penicook, Jr. and Uwe Schillhorn.
Summary: 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.
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Item type Current library Collection Call number Status Date due Barcode Item holds
Reference Books Reference Books Main Library
Reference 		Reference 332.6 ADV (Browse shelf(Opens below)) Available 012208
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Includes index

Overview of fixed income portfolio management / Frank J. Jones --
Liquidity, trading, and trading costs / Leland E. Crabbe and Frank J. Fabozzi --
Portfolio strategies for outperforming a benchmark / Bülent Baygün and Robert Tzucker --
The active decisions in the selection of passive management and performance bogeys / Chris P. Dialynas and Alfred Murata --
Liability-based benchmarks / Lev Dynkin, Jay Hyman, and Bruce D. Phelps --
Risk budgeting for fixed income portfolios / Frederick E. Dopfel --
Understanding the building blocks for OAS models / Philip O. Obazee --
Fixed income risk modeling / Ludovic Breger and Oren Cheyette --
Multifactor risk models and their applications / Lev Dynkin and Jay Hyman --
Measuring plausibility of hypothetical interest rate shocks / Bennett W. Golub and Leo M. Tilman --
Hedging interest rate risk with term structure factor models / Lionel Martellini [and others] --
Scenario simulation model for fixed income portfolio risk management / Farshid Jamshidian and Yu Zhu --
Valuing corporate credit : quantitative approaches versus fundamental analysis / Sivan Mahadevan [and others] --
An introduction to credit risk models / Donald R. van Deventer --
Credit derivatives and hedging credit risk / Donald R. van Deventer --
Implications of Merton models for corporate bond investors / Wesley Phoa --
Capturing the credit alpha / David Soronow --
Global bond investing for the 21st century / Lee R. Thomas --
Managing a multicurrency bond portfolio / Srichander Ramaswamy and Robert Scott --
A disciplined approach to emerging markets debt investing / Maria Mednikov Loucks, John A. Penicook, Jr. and Uwe Schillhorn.

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.

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