Advanced Bond Portfolio Management

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.

Advanced Bond Portfolio Management

In order to effectively employ portfolio strategies that cancontrol interest rate risk and/or enhance returns, you mustunderstand the forces that drive bond markets, as well as thevaluation and risk management practices of these complexsecurities. In Advanced Bond Portfolio Management,Frank Fabozzi, Lionel Martellini, and Philippe Priaulet havebrought together more than thirty experienced bond marketprofessionals to help you do just that. Divided into six comprehensive parts, Advanced BondPortfolio Management will guide you through thestate-of-the-art techniques used in the analysis of bonds and bondportfolio management. Topics covered include: General background information on fixed-income markets and bondportfolio strategies The design of a strategy benchmark Various aspects of fixed-income modeling that will provide keyingredients in the implementation of an efficient portfolio andrisk management process Interest rate risk and credit risk management Risk factors involved in the management of an internationalbond portfolio Filled with in-depth insight and expert advice, AdvancedBond Portfolio Management is a valuable resource for anyoneinvolved or interested in this important industry.

Advanced Bond Portfolio Management Chapter 6 Custom Reprint

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.

Advanced Bond Portfolio Management Chapter 6 Custom Reprint

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.

Debt Markets and Investments

“Duration: Its Development and Use in Bond Portfolio Management.” Financial ...
In Frank J. Fabozzi, Lionel Martellini, and Philippe Priaulet, eds., Advanced Bond
Portfolio Management: Best Practices in Modeling and Strategies, 21–42.

Debt Markets and Investments

Debt Markets and Investments provides an overview of the dynamic world of markets, products, valuation, and analysis of fixed income and related securities. Experts in the field, practitioners and academics, offer both diverse and in-depth insights into basic concepts and their application to increasingly intricate and real-world situations. This volume spans the entire spectrum from theoretical to practical, while attempting to offer a useful balance of detailed and user-friendly coverage. The volume begins with the basics of debt markets and investments, including basic bond terminology and market sectors. Among the topics covered are the relationship between fixed income and other asset classes as well as the differences in fundamental risk. Particular emphasis is given to interest rate risk as well as credit risks as well as those associated with inflation, liquidity, reinvestment, and ESG. Authors then turn to market sectors, including government debt, municipal bonds, the markets for corporate bonds, and developments in securitized debt markets along with derivatives and private debt markets. The third section focuses on models of yield curves, interest rates, and swaps, including opportunities for arbitrage. The next two sections focus on bond and securitized products, from sovereign debt and mutual funds focused on bonds to how securitization has increased liquidity through such innovations as mortgaged-and asset- backed securities, as well as collateralized debt-, bond-, and loan obligations. Authors next discuss various methods of valuation of bonds and securities, including the use of options and derivatives. The volume concludes with discussions of how debt can play a role in financial strategies and portfolio creation. Readers interested in a broad survey will benefit as will those looking for more in-depth presentations of specific areas within this field of study. In summary, the book provides a fresh look at this intriguing and dynamic but often complex subject.

Fixed Income Portfolio Management

Looks at fixed income securities, discusses portfolio restraints, passive and active strategies, futures, and options, and includes mathematical models.

Fixed Income Portfolio Management

Looks at fixed income securities, discusses portfolio restraints, passive and active strategies, futures, and options, and includes mathematical models.

Quantitative Credit Portfolio Management

Fixed Income Securities, Second Edition by Frank J. Fabozzi Focus on Value: A
Corporate and Investor Guide to Wealth ... and Petter N. Kolm Advanced Bond
Portfolio Management: Best Practices in Modeling and Strategies edited by Frank
J.

Quantitative Credit Portfolio Management

An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds—spread, liquidity, and Treasury yield curve risk—as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.

Equity Valuation and Portfolio Management

Fixed Income Securities, Second Edition by Frank J. Fabozzi Focus on Value: A
Corporate and Investor Guide to Wealth ... and Petter N. Kolm Advanced Bond
Portfolio Management: Best Practices in Modeling and Strategies edited by Frank
J.

Equity Valuation and Portfolio Management

A detailed look at equity valuation and portfolio management Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities. In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity valuation, provide the necessary mathematical background, and discuss classic and new portfolio strategies for investment managers. Divided into two comprehensive parts, this reliable resource focuses on valuation and portfolio strategies related to equities. Discusses both fundamental and new techniques for valuation and strategies Fabozzi and Markowitz are experts in the fields of investment management and economics Includes end of chapter bullet point summaries, key chapter take-aways, and study questions Filled with in-depth insights and practical advice, Equity Valuation and Portfolio Management will put you in a better position to excel at this challenging endeavor.

Subprime Mortgage Credit Derivatives

... Handbook of Global Fixed Income Calculations by Dragomir Krgin Managing a
Corporate Bond Portfolio by Leland E ... and Petter N . Kolm Advanced Bond
Portfolio Management : Best Practices in Modeling and Strategies edited by
Frank J ...

Subprime Mortgage Credit Derivatives

Subprime Mortgage Credit Derivatives Cutting-edge strategies for minimizing the risk of mortgage credit derivative portfolios Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners—Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman—along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate. Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004–2006 period, as housing became less affordable, origination standards were stretched—and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board. The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.

Streetwise

"Streetwise" brings together classic articles from the publication that helped revolutionize the way Wall Street does business.

Streetwise

Economist and money manager Peter Bernstein sought to encourage this exchange when, in 1974, he founded The Journal of Portfolio Management (JPM).

Bond Portfolio Optimization

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems.

Bond Portfolio Optimization

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.

Innovations in Bond Portfolio Management

Contemporary Studies in Economic and Financial Analysis provides further insights to postcrisis developments in the global economic and financial environment.

Innovations in Bond Portfolio Management

Contemporary Studies in Economic and Financial Analysis provides further insights to postcrisis developments in the global economic and financial environment. Our hope is that the assembled papers will offer clear insights into the complex financial arrangements that now link emerging and developed financial markets in the current economic environment, outlining a multidisciplinary research agenda for the field.

The Handbook of Commodity Investing

The Frank J. Fabozzi Series Fixed Income Securities, Second Edition by Frank J.
Fabozzi Focus on Value: A Corporate and ... Handbook of Global Fixed Income
Calculations by Dragomir Krgin Managing a Corporate Bond Portfolio by Leland
E. Crabbe and Frank J. ... Sergio M. Focardi, and Petter N. Kolm Advanced Bond
Portfolio Management: Best Practices in Modeling and Strategies edited by Frank
 ...

The Handbook of Commodity Investing

Filled with a collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. The handbook covers a range of issues, including the risk and return of commodities and diversification benefits.

Professional Perspectives on Fixed Income Portfolio Management Volume 4

Written by experienced fixed income professionals, this comprehensive volume offers in-depth analysis on a wide range of fixed income portfolio management issues, including: Risk/return trade-offs on fixed income asset classes Consistency ...

Professional Perspectives on Fixed Income Portfolio Management  Volume 4

Professional Perspectives on Fixed Income Portfolio Management, Volume 4 is a valuable practitioner-oriented text that addresses the current developments as well as key strategies and central theories in this field. Filled with insightful articles that focus on three important areas of fixed income portfolio management–fixed income analysis and strategies, credit risk and credit derivatives, and structured products–this volume contains hard-won practical knowledge and theory that will allow you to navigate today’s market with poise and confidence. Written by experienced fixed income professionals, this comprehensive volume offers in-depth analysis on a wide range of fixed income portfolio management issues, including: Risk/return trade-offs on fixed income asset classes Consistency of carry strategies in Europe The Euro benchmark yield curve Quantitative approaches versus fundamental analysis for valuing corporate credit The implication of Merton models for corporate bond investors The valuation of credit default swaps Framework for secondary market collateralized debt obligation valuation For the financial professional who needs to understand the advanced characteristics of fixed income portfolio management, Professional Perspectives on Fixed Income Portfolio Management, Volume 4 offers the most current thinking from the most experienced professionals in this field. Increase your knowledge of this market and enhance your financial performance for years to come with Professional Perspectives on Fixed Income Portfolio Management, Volume 4.

Handbook of Finance Investment Management and Financial Management

The importance of these models for portfolio management has been elaborately
exhausted upon . ... After the manager undergoes this process , a global bond
portfolio is created that reflects the beliefs in a cost and risk effective way in the
context of current market prices of the ... Advanced Bond Portfolio Management (
pp .

Handbook of Finance  Investment Management and Financial Management

Volume II: Investment Management and Financial Management focuses on the theories, decisions, and implementations aspects associated with both financial management and investment management. It discusses issues that dominate the financial management arena—capital structure, dividend policies, capital budgeting, and working capital—and highlights the essential elements of today's investment management environment, which include allocating funds across major asset classes and effectively dealing with equity and fixed income portfolios. Incorporating timely research and in-depth analysis, the Handbook of Finance is a comprehensive 3-Volume Set that covers both established and cutting-edge theories and developments in finance and investing. Other volumes in the set: Handbook of Finance Volume I: Financial Markets and Instruments and Handbook of Finance Volume III: Valuation, Financial Modeling, and Quantitative Tools.

HIGH YIELD BONDS

HIGH-YIELD BONDS provides state-of-the-art research, strategies, and toolsÑalongside the expert analysis of respected authorities including Edward Altman of New York UniversityÕs Salomon Center, Lea Carty of MoodyÕs Investor Service, Sam ...

HIGH YIELD BONDS

HIGH-YIELD BONDS provides state-of-the-art research, strategies, and toolsÑalongside the expert analysis of respected authorities including Edward Altman of New York UniversityÕs Salomon Center, Lea Carty of MoodyÕs Investor Service, Sam DeRosa-Farag of Donaldson, Lufkin & Jenrette, Martin Fridson of Merrill Lynch & Company, Stuart Gilson of Harvard University, Robert Kricheff of CS First Boston, and Frank Reilly of the University of Notre DameÑto help you truly understand todayÕs high-yield market. For added value and ease of reference, this high-level one-volume encyclopedia is divided into seven sections detailing virtually every aspect of high-yield bond investment. They include: Market structureÑThe role of investment banks in security innovation and market development, evolution of analytical methodologies, and recent leveraged loan market developments; Security risk analysisÑHistorical bond default rates, real interest rate and default rate relationships, and new simulation methodologies for modeling credit quality; Security valuationÑImpact of seniority and security on bond pricing and return, important trading factors, and a Monte Carlo simulation methodology for valuing bonds and options in the context of correlated interest rate and credit risk; Market valuation modelsÑEconometric studies which detail the importance of monetary influences, risk-free interest rates, default rates, mutual fund flows, and seasonal fluctuations; Portfolio managementÑHistorical perspective and comparison to alternative investments, analysis of indices available to investors, and specific portfolio selection and risk management strategies of professional fund managers; Distressed security investingÑHistorical risk and return information, plus an academic overview of the market and decision criteria for uncovering and investing in securities with higher-than-average risk-adjusted returns; Corporate finance considerationsÑEmerging firmsÕ strategic choice between external debt and equity financing, as well as the choice of issuing public versus private (Rule-144a) securities. HIGH-YIELD BONDS provides extensive coverage of bond valuation and the construction and management of high-yield portfolios. Advanced Monte Carlo simulation models for the valuation of bonds and options on bonds as well as risk assessments on portfolios of bonds under conditions of correlated interest rate and credit risk are demonstrated. In todayÕs explosive environment of multiple new issues and high risk versus return relationships, it is paramount that you get advice from analysts and experts who have been influential in shaping and defining the market. HIGH-YIELD BONDS will provide you with a valuable reference to this fascinating and constantly changing class of securities, helping you assemble a stable, diversified portfolio of fixed income investments that provides the greatest returns and the lowest risks.

Equity Portfolio Management

... RISK MEASURES MANAGING FIXED INCOME PORTFOLIOS VALUATION OF
FIXED INCOME SECURITIES AND DERIVATIVES: THIRD EDITION SELECTED
TOPICS IN BOND PORTFOLIO MANAGEMENT ADVANCED FIXED INCOME ...

Equity Portfolio Management

With investors flocking to Wall Street in an attempt to beat today’s turbulent market, Fabozzi and Grant show you how to stay focused and create a solid equity portfolio in Equity Management. This comprehensive guide ties together modern portfolio theory and the current strategies employed by portfolio managers to enhance returns on equity portfolios. By focusing on several key areas, including equity management styles: passive versus active investing, traditional fundamental analysis, security analysis using value-based metrics, and much more, Equity Portfolio Management will put you on the right track to investing smarter and more profitably.

Fixed Income Analysis

This book, valuable for self-study as well as for general reference, provides complete coverage of the most important issues in fixed income analysis.

Fixed Income Analysis


Advanced Fixed Income Analytics

Advanced Fixed Income Analytics helps fixed income professionals stay abreast of the latest developments in the field by providing a practical account of quantitative methods in the fixed income market.

Advanced Fixed Income Analytics

Advanced Fixed Income Analytics helps fixed income professionals stay abreast of the latest developments in the field by providing a practical account of quantitative methods in the fixed income market. Wesley Phoa covers a variety of important topics within the bond markets, including inflation-indexed bonds, prepayment risk and modeling, term structure models, credit spread and volatility risk, and risk measures and return attribution. The information and guidance of Advanced Fixed Income Analytics has a strong emphasis on empirical analysis and practical applications that will prepare you for anything within the fixed income market.

Fixed Income Analysis

This vital guide contains a wealth of example- driven presentations of all the essential topics, making it useful for self-study, general reference, and classroom use.

Fixed Income Analysis

"We are pleased to bring you Fixed Income Analysis, which provides authoritative and up-to-date coverage of how investment professionals analyze and manage fixed-income portfolios. As with many of the other titles in the CFA Institute Investment Series, the content for this book is drawn from the official CFA Program curriculum. As such, readers can rely on the content of this book to be current, globally relevant, and practical. The content was developed in partnership by a team of distinguished academics and practitioners, chosen for their acknowledged expertise in the field, and guided by CFA Institute. It is written specifically with the investment practitioner in mind and provides numerous examples and practice problems that reinforce the learning outcomes and demonstrate real-world applicability"--

Fixed Income Finance A Quantitative Approach

One of those people who can make quick work of long, difficult equations. But when it comes to managing a financial portfolio and managing risk, you wonder if you’re missing out. Fixed Income Finance is the book for you.

Fixed Income Finance  A Quantitative Approach

A complete guide for professionals with advanced mathematical skills but little or no financial knowledge . . . You’re smart. Logical. Mathematically adept. One of those people who can make quick work of long, difficult equations. But when it comes to managing a financial portfolio and managing risk, you wonder if you’re missing out. Fixed Income Finance is the book for you. It’s the perfect introduction to the concepts, formulas, applications, and methodology, all derived from first principles, that you need to succeed in the world of quantitative finance—with a special emphasis on fixed incomes. Written by two of the sharpest analytical minds in their fields, this instructive guide takes you through the basics of fixed income finance, including many new and original results, to help you understand: Treasury Bonds and the Yield Curve The Macroeconomics behind Term Structure Models Structural Models for Corporate Bonds and Portfolio Diversification Options Fixed Income Derivatives Numerical Techniques Filled with step-by-step equations, clear and concise concepts, and ready-to-use formulas, this essential workbook bridges the gap between basic beginners’ primers and more advanced surveys to provide hands-on tools you can begin to use immediately. It’s all you need to put your math skills to work— and make the money work for you. Brilliantly researched, impeccably detailed, and thoroughly comprehensive, Fixed Income Finance is applied mathematics at its best and most useful.

S A M Advanced Management Journal

Part IV discusses bonds and bond portfolio strategies . Part V deals with equities ,
stock trading strategies , stock valuation concepts , and the techniques of
fundamental and technical analysis . Part VI is concerned with contingent claims
 ...

S A M  Advanced Management Journal