{"product_id":"advanced-bond-portfolio-management-isbn-9780471678908","title":"Advanced Bond Portfolio Management","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 \u003cb\u003e\u003ci\u003eAdvanced Bond Portfolio Management\u003c\/i\u003e\u003c\/b\u003e, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that.  \u003cp\u003eDivided into six comprehensive parts, \u003cb\u003e\u003ci\u003eAdvanced Bond Portfolio Management\u003c\/i\u003e\u003c\/b\u003e will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eGeneral background information on fixed-income markets and bond portfolio strategies\u003c\/li\u003e \u003cli\u003eThe design of a strategy benchmark\u003c\/li\u003e \u003cli\u003eVarious aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process\u003c\/li\u003e \u003cli\u003eInterest rate risk and credit risk management\u003c\/li\u003e \u003cli\u003eRisk factors involved in the management of an international bond portfolio\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eFilled with in-depth insight and expert advice, \u003cb\u003e\u003ci\u003eAdvanced Bond Portfolio Management\u003c\/i\u003e\u003c\/b\u003e is a valuable resource for anyone involved or interested in this important industry.\u003c\/p\u003e \u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003eAbout the Editors xv\u003c\/p\u003e \u003cp\u003eContributing Authors xvii\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART ONE Background 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 1 Overview of Fixed Income Portfolio Management 3\u003cbr\u003e\u003ci\u003eFrank J. Jones\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 2 Liquidity, Trading, and Trading Costs 21\u003cbr\u003e\u003ci\u003eLeland E. Crabbe and Frank J. Fabozzi\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 3 Portfolio Strategies for Outperforming a Benchmark 43\u003cbr\u003e\u003ci\u003eBülent Baygün and Robert Tzucker\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART TWO Benchmark Selection and Risk Budgeting 63\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 4 The Active Decisions in the Selection of Passive Management and Performance Bogeys 65\u003cbr\u003e\u003ci\u003eChris P. Dialynas and Alfred Murata\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 5 Liability-Based Benchmarks 97\u003cbr\u003e\u003ci\u003eLev Dynkin, Jay Hyman, and Bruce D. Phelps\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 6 Risk Budgeting for Fixed Income Portfolios 111\u003cbr\u003e\u003ci\u003eFrederick E. Dopfel\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART THREE Fixed Income Modeling\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 7 Understanding the Building Blocks for OAS Models 131\u003cbr\u003e\u003ci\u003ePhilip O. Obazee\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 8 Fixed Income Risk Modeling 163\u003cbr\u003e\u003ci\u003eLudovic Breger and Oren Cheyette\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 9 Multifactor Risk Models and Their Applications 195\u003cbr\u003e\u003ci\u003eLev Dynkin and Jay Hyman\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART FOUR Interest Rate Risk Management 247\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 10 Measuring Plausibility of Hypothetical Interest Rate Shocks 249\u003cbr\u003e\u003ci\u003eBennett W. Golub and Leo M. Tilman\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 11 Hedging Interest Rate Risk with Term Structure Factor Models 267\u003cbr\u003e\u003ci\u003eLionel Martellini, Philippe Priaulet, Frank J. Fabozzi, and Michael Luo\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 12 Scenario Simulation Model for Fixed Income Portfolio Risk Management 291\u003cbr\u003e\u003ci\u003eFarshid Jamshidian and Yu Zhu\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART FIVE Credit Analysis and Credit Risk Management 311\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 13 Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis 313\u003cbr\u003e\u003ci\u003eSivan Mahadevan, Young-Sup Lee, Viktor Hjort, David Schwartz, and Stephen Dulake\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 14 An Introduction to Credit Risk Models 355\u003cbr\u003e\u003ci\u003eDonald R. van Deventer\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 15 Credit Derivatives and Hedging Credit Risk 373\u003cbr\u003e\u003ci\u003eDonald R. van Deventer\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 16 Implications of Merton Models for Corporate Bond Investors 389\u003cbr\u003e\u003ci\u003eWesley Phoa\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 17 Capturing the Credit Alpha 407\u003cbr\u003e\u003ci\u003eDavid Soronow\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART SIX International Bond Investing 419\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 18 Global Bond Investing for the 21st Century 421\u003cbr\u003e\u003ci\u003eLee R. Thomas\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 19 Managing a Multicurrency Bond Portfolio 445\u003cbr\u003e\u003ci\u003eSrichander Ramaswamy and Robert Scott\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 20 A Disciplined Approach to Emerging Markets Debt Investing 479\u003cbr\u003e\u003ci\u003eMaria Mednikov Loucks, John A. Penicook, Jr., and Uwe Schillhorn\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eINDEX 533\u003c\/p\u003e \"Effective in presenting the mechanics of bond portfolio management for those who understand basic bond math. . . worth the price.\"--Financial Analysts Journal  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.  \u003cp\u003eLionel 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.\u003c\/p\u003e \u003cp\u003ePhilippe 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.\u003c\/p\u003e  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.  \u003cp\u003eDivided 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:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eGeneral background information on fixed-income markets and bond portfolio strategies\u003c\/li\u003e \u003cli\u003eThe design of a strategy benchmark\u003c\/li\u003e \u003cli\u003eVarious aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process\u003c\/li\u003e \u003cli\u003eInterest rate risk and credit risk management\u003c\/li\u003e \u003cli\u003eRisk factors involved in the management of an international bond portfolio\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eFilled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988664434917,"sku":"NP9780471678908","price":105.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471678908.jpg?v=1761781174","url":"https:\/\/k12savings.com\/products\/advanced-bond-portfolio-management-isbn-9780471678908","provider":"K12savings","version":"1.0","type":"link"}