Professional Perspectives on Fixed Income Portfolio Management, Volume 1

Erscheinungsjahr 2000
ISBN: 978-1-883249-77-9
Verlag: Wiley

Buch, Englisch, 266 Seiten, Format (B × H): 161 mm x 239 mm, Gewicht: 539 g

In the turbulent marketplace of the New Economy, portfolio managers must expertly control risk for investors who demand better and better returns even from the safest investments. Finance and investing expert Frank Fabozzi leads a team of experts in the discussion of the key issues of fixed income portfolio management in the latest Perspectives title from his best-selling library. Perspectives on Fixed Income Portfolio Management covers topics on the frontiers of fixed income portfolio management with a focus on risk control, volatility framework for the corporate market, risk management for fixed income asset management, and credit derivatives in portfolio management. Other important topics include: attribution of portfolio performance relative to an index; quantitative analysis of fixed income portfolios; value-at-risk for fixed-income portfolios; methodological trade-offs. The book also provides a variety of illustrations.

Autoren/Hrsg.

Fabozzi, Frank J.

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft

Inhaltsverzeichnis

Contributing Authors.

An Overview of Institutional Fixed Income Investment Strategies (F. Jones).

Quantitative Analysis of Fixed Income Portfolio Relative to Indices (L. Dynkin and J. Hyman).

Attribution of Portfolio Performance Relative to an Index (L. Dynkin, et al.).

A Primer on Effective Duration and Convexity (G. Buetow and R. Johnson).

Duration Uncertainty and MBS Duration Management (W. Phoa, et al.).

A Volatility Framework for the Corporate Market (S. Zamsky, et al.).

Credit Spread Risk and the Theory of Extreme Events (W. Phoa).

The Truth about Swap Spreads (R. Gordon).

Inefficiencies in Municipal Bond Pricing (P. Kennedy).

Risk Management for Fixed Income Asset Management (B. Gord).

Scenario Simulation Model for Fixed Income Portfolio Risk Management (F. Jamshidian and Y. Zhu).

Improving Guidelines for Futures and Other Derivatives (S. Kreider, et al.).

Controlling Interest Rate Risk with Futures and Options (F. Fabozzi, et al.).

Credit Derivatives in Portfolio Management (M. Anson).

Index Total Return Swaps and Their Fixed Income Portfolio Management Applications (M. Rooney).

Über Autor(innen)

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.