Contents : Contents
Contributeurs : Frank J. Jones, Leland E. Crabbe, Bülent Baygün, Robert Tzucker, Chris P. Dialynas, Alfred Murata, Lev Dynkin, Jay Hyman, Bruce D. Phelps, Frederik E. Dopfel, Philip O. Obazee, Ludovic Breger, Oren Cheyette, Bennett W. Golub, Leo M. Tilman, Michael Luo, Farshid Jamshidian, Yu Zhu, Sivan Mahadevan, Young-Sup Lee, Viktor Hjort, David Schwartz, Stephen Dulake, Donald R. van Deventer, Wesley Phoa, David Soronow, Lee R. Thomas, Srichander Ramaswamy, Robert Scott, Maria Mednikkov Loucks, John A. Penicook, Uwe Schillhorn

PART 1 : Background.
1. Overview of Fixed Income Portfolio Management.
2. Liquidity, Trading, and Trading Costs.
3. Portfolio Strategies for Outperforming a Benchmark.

PART 2 : Benchmark selection and risk budgeting.
4. The Active Decisions in the Selection of Passive Management and Performance Bogeys.
5. Liability-Based Benchmarks.
6. Risk Budgeting for Fixed Income Portfolios.

PART 3 : Fixed income modeling.
7. Understanding the Building Blocks for OAS Models.
8. Fixed Income Risk Modeling.
9. Multifactor Risk models and Their Applications.

PART 4. Interest rate risk management.
10. Measuring Plausibility of Hypothetical Interest Rate Shocks.
11. Hedging Interest Rate Risk with Term Structure Factor Models.
12. Scenario Simulation Model for Fixed Income Portfolio Risk Management.

PART 5 : Credit analysis and credit risk management.
13. Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis.
14. An Introduction to Credit Risk Models.
15. Credit Derivatives and Hedging Credit Risk.
16. Implications of Merton Models for Corporate Bond Investors.
17. Capturing the Credit Alpha.

PART 6 : International bond investing.
18. Global Bond Investing for the 21st Century.
19. Managing a Multicurrency Bond Portfolio.
20. A Disciplined Approach to Emerging Markets Debt Investing.

Language : English

Series : FABOZZI SERIES

Figure(s) : Tableau(x) ; Schémas

Location : Nice Library

Material : Paper

Statement : Présent

Faculty's books : Oui

Owner : Bibliothèque