Advanced bond portfolio management [Texte imprimé] : best practices in modeling and strategies / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors.

ISBN: 0-471-67890-2 (rel)
978-0-471-67890-8
Note de bibliographie: Notes bibliographiques. Index.
Table des matières: P. ix Preface P. xv About the editors P. xvii Contributing authors P. 1 Part one, Background P. 3 Chapter 1, Overview of fixed income portfolio management / frank J. Jones P. 21 Chapter 2, Liquidity, trading and trading costs / Leland E. Crabbe and Frank J. Fabozzi P. 43 Portfolio strategies for outperforming a benchmark / Bülent Baygün and Robert Tzucker P. 63 Part two, Benchmark selection and risk budgeting P. 65 Chapter 4, The active decisions in the selection of passive management and performance bogeys / Chris P. Dialynas and Alfred Murata P. 97 Chapter 5, Liability-based benchmarks / Lev Dynkin, Jay Hyman and Bruce D. Phelps P. 111 Chapter 6, Risk budgeting for fixed income portfolios / Frederick E. Dopfel P. 129 Part three, Fixed Income modeling P. 131 Chapter 7, Understanding the building blocks for OAS models / Philip O. Obazee P. 163 Chapter 8, Fixed income risk modeling / Ludovic Breger and Oren Cheyette P. 195 Chapter 9, Multifactor risk models and their applications / Lev Dynkin and Jay Hyman P. 247 Part four, Interest rate risk management P. 249 Chapter 10, Measuring plausibility of hypothetical interest rate shocks / Bennett W. golub and Leo M. Tilman P. 267 Chapter 11, Hedging interest rate risk with term structure factor models / Lionel Martellini, Philippe Priaulet, Frank J. Fabozzi and Michael Luo P. 291 Chapter 12, Scenario simulation model for fixed income portfolio risk management / Farshid Jamshidian and Yu Zhu P. 311 Part five, Credit analysis and credit risk management P. 313 Valuing corporate credit : quantitative approaches versus fundamental analysis / Sivan Mahadevan, Young-Sup Lee, Viktor Hjort, David Schwartz and Stephen Dulake P. 355 Chapter 14, An introduction to credit risk models / Donald R. van Deventer P. 373 Chapter 15, Credit derivatives and hedging credit risk / Donald R. van Deventer P. 389 Chapter 16, Implications of Merton models for corporate bond investors / Wesley Phoa P. 407 Chapter 17, Capturing the credit alpha / David Soronow P. 419 Part six, International bond investing P. 421 Chapter 18, Global bond investing for the 21st century / Lee R. Thomas P. 445 Chapter 19, Managing a multicurrency bond portfolio / Srichander Ramaswamy and Robert Scott P. 479 Chapter 20, A disciplined approach to emerging markets debt investing / Maria Mednikov Loucks, John A. Penicook Jr. and Uwe Schillhorn P. 533 Index