ISBN 13 : 978-0-07-176846-7

Sommaire :
Contributeurs : Frank J. Fabozzi, Michael G. Ferri, Steven V. Mann, Ravi F. Dattatreya, Frank J. Jones, Frank K. Reilly, David J. Wright, Bruce J. Feibel, Antti Ilmanen, Gerald, W. Buetow Jr., Robert R. Johnson, Michael J. Fleming, Sylvain G. Feldstein, Alexander M. Grant Jr., Patrick M. Kennedy, Richard S. Wilson, Leland E. Crabbe, John B. Brynjolfsson, Christopher B. Steward, David Munves, Jane Sachar Brauer, John R. Caswell, Karl Tourville, Anand K. Bhattacharya, William S. Berliner, Andrew Davidson, Anne Ching, Alexander Crawford, Anthony B. Sanders, David Yuen, Chuck Ramsey, John McElravey, Anthony B. Sanders, W. Alexander Roever, Laurie S. Goodman, Douglas J. Lucas, Jeffrey T. Prince, Arturo Cifuentes, Nichol Bakalar, Tim Backshall, Kay Giesecke, Lisa Goldberg, Hedi Katz, Ronald N. Kahn, Andrew Kalotay, Michael Dorigan, Scott F. Richard, David Horowitz, David Audley, Richard Chin, Shrikant Ramamurthy, Moorad Choudhry, Lionel Martellini, Philippe Priaulet, Kenneth E. Volpert, Lev Dynkin, Jay Hyman, Vadim Konstantinovsky, Jack Malvey, J. Hank Lynch, Daniel Gallegos, Mark Pitts, Bruce M. Collins, David K. Tim, William J. Gartland, Nicholas C. Letica, Dominic O'Kane, Chris P. Dialynas, John C. Ritchie Jr., Mihir Battacharya.

PART 1.Background
1. Overview of the types and features of fixed income securities
2. Risks associated with investing in fixed income securities
3. Bond market indexes
4. Electronic trading for fixed income markets
5. Macro-economic dynamics and corporate bond market
6. Bond pricing, yield measures and total return
7. Measuring of interest rates
8. The structure of interest rates

PART 2. Government securities and corporate debt obligations
9. U.S. treasury securities
10. Agency debt securities
11. Municipal bonds
12 Corporate bonds
13. Leveraged loans
14. Convertible securities and their investment application
15. Structured notes and credit linked notes
16. Private money market instruments
17. Floating securities
18. Inflation linked bonds
19. International bond markets and instrument
20. Emerging markets debt
21. Fixed income exchange traded funds
22. Covered bonds
23. Nonconvertible preferred stock

PART 3. Securitized products
24. An overview of mortgages and the mortgage market
25. Agency mortgage-backed securities
26. Agency collateralized mortgage obligations
27. The effect of agency CMO PAC bond features on performance
28. Agency CMO Z-bonds
29. Support bond with schedules in agency CMO deals
30. Stripped mortgage backed securities
31. Nonagency residential mortgage backed securities
32. Commercial mortgage backed securities
33. Credit card asset backed securities
34. Securities backed by auto loans and leases, equipment loans and leases and student loans
35. Collateralized loan obligations

PART 4. Term structure of interest rates
36. Overview of forward rate analysis
37. A framework for analyzing yield-curve trades
38. Empirical yield curve dynamics and yield curve exposure
39. Term structured modeling with no arbitrage interest rate models

PART 5. Valuation modeling
40. Valuation of bonds with embedded options
41. Valuation of agency mortgage backed securities
42. Convertible securities : their structures, valuation and trading

PART 6. Credit risk
43. Credit analysis for corporate bonds
44. The credit analysis of municipal general obligation and revenue bonds
45. Credit risk modeling

PART 7. Multifactor risk models
46. Introduction to multifactor risk models in fixed income and their applications
47. Analyzing risk from multifactor fixed income models
48. Hedging interest rate risk with term structure factor models

PART 8. Bond portfolio management
49. International bond portfolio management
50. Quantitative management of benchmarked portfolios
51. Global credit bond portfolio management
52. Elements of managing a high yield bond portfolio
53. International bond portfolio management
54. Fixed income transition management
55. Managing the spread risk of credit portfolios using the duration times spread measure
56. Investing in distressed structured credit securities
57. Hedge fund fixed income strategies
58. Financing positions in the bond market

PART 9. Derivatives
59. Introduction to interest rate futures and options contracts
60. Pricing futures and portfolios applications
61. Controlling interest rate risk with futures and options
62. Interest rate swaps and swaptions
63. The valuation of interest rate swaps and swaptions
64. The basics of interest rate options
65. Interest rate caps and floors
66. Credit derivatives
67. Credit derivatives valuation and risk
68. Hedging tail risk

PART 10. Performance evaluation and return attribution analysis
69. Principles of performance attribution
70. Performance attribution for portfolios of fixed income securities
71. Advanced topics in performance attribution

Appendix : Methodology for calculating currency exposures in bond portfolios and indexes

Nbre volumes : 1

Langue : Anglais

Edition : 8ème

Lieu d'édition : NEW YORK

Illustration(s) : Graphique(s) ; Tableau(x)

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque