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Full Description
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.
Contents
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
