Advanced Bond Portfolio Management / Frank J. Fabozzi Series (PDF)
Best Practices in Modeling and Strategies
(Sprache: Englisch)
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....
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....
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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 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.
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.
Inhaltsverzeichnis zu „Advanced Bond Portfolio Management / Frank J. Fabozzi Series (PDF)“
Preface. About the Editors. About the Authors. PART ONE: BACKGROUND. Chapter 1. Overview of Fixed Income Portfolio Management. Chapter 2. Liquidity, Trading, and Trading Costs. Chapter 3. Portfolio Strategies for Outperforming a Benchmark. PART TWO: BANCHMARK SELECTION AND RISK BUDGETING. Chapter 4. The Active Decisions in the Selection of Passive Management and Performance Bogeys. Chapter 5. Liability-Based Benchmarks. Chapter 6. Risk Budgeting for Fixed Income Portfolios. PART THREE: FIXED INCOME MODELING. Chapter 7. Understanding the Building Blocks for OAS Models. Chapter 8. Fixed Income Risk Modeling. Chapter 9. Multifactor Risk models and Their Applications. Chapter 10. Measuring Plausibility of Hypothetical Interest Rate Shocks. Chapter 11. Hedging Interest Rate Risk with Term Structure Factor Models. Chapter 12. Scenario Simulation Model for Fixed Income Portfolio Risk Management. PART FIVE: CREDIT ANALYSIS AND CREDIT RISK MANAGEMENT. Chapter 13. Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis. Chapter 14. An Introduction to Credit Risk Models. Chapter 15. Credit Derivatives and Hedging Credit Risk. Chapter 16. Implications of Merton Models for Corporate Bond Investors. Chapter 17. Capturing the Credit Alpha. PART SIX: INTERNATIONAL BOND INVESTING. Chapter 18. Global Bond Investing for the 21st Century. Chapter 19. Managing a Multicurrency Bond Portfolio. Chapter 20. A Disciplined Approach to Emerging Markets Debt Investing. Index.
Autoren-Porträt
Frank J. Fabozzi, PhD, CFA, CPA, is the Frederick Frank AdjunctProfessor 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.
Bibliographische Angaben
- 2005, 1. Auflage, 576 Seiten, Englisch
- Herausgegeben: Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet
- Verlag: John Wiley & Sons
- ISBN-10: 0471785768
- ISBN-13: 9780471785767
- Erscheinungsdatum: 13.12.2005
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