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Advanced Bond Portfolio Management : Best Practices in Modeling and Strategies - Frank J. Fabozzi

Advanced Bond Portfolio Management

Best Practices in Modeling and Strategies

By: Frank J. Fabozzi (Editor), Lionel Martellini (Editor), Philippe Priaulet (Editor)

Hardcover

Published: 1st November 2005
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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 <b><i>Advanced Bond Portfolio Management</i></b>, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that. <p> Divided into six comprehensive parts, <b><i>Advanced Bond Portfolio Management</i></b> will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include: <ul> <li>General background information on fixed-income markets and bond portfolio strategies <li>The design of a strategy benchmark <li>Various aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process <li>Interest rate risk and credit risk management <li>Risk factors involved in the management of an international bond portfolio </ul> <p> Filled with in-depth insight and expert advice, <b><i>Advanced Bond Portfolio Management</i></b> is a valuable resource for anyone involved or interested in this important industry.

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

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
Bulent Baygun 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 O. 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

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 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 Multicurrency 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

INDEX 533

ISBN: 9780471678908
ISBN-10: 0471678902
Series: Frank J. Fabozzi Series
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 558
Published: 1st November 2005
Country of Publication: US
Dimensions (cm): 23.15 x 15.95  x 4.54
Edition Number: 1