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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 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…mehr
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.
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Autorenporträt
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.
Inhaltsangabe
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 Bülent 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 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
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 Bülent 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 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
Rezensionen
"Effective in presenting the mechanics of bond portfolio management for those who understand basic bond math. . . worth the price."--Financial Analysts Journal
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