Professional perspectives on fixed income portfolio management
Author(s)
Bibliographic Information
Professional perspectives on fixed income portfolio management
(The Frank J. Fabozzi series)
Wiley, c2002-
- v. 3
- v. 4
Available at 4 libraries
  Aomori
  Iwate
  Miyagi
  Akita
  Yamagata
  Fukushima
  Ibaraki
  Tochigi
  Gunma
  Saitama
  Chiba
  Tokyo
  Kanagawa
  Niigata
  Toyama
  Ishikawa
  Fukui
  Yamanashi
  Nagano
  Gifu
  Shizuoka
  Aichi
  Mie
  Shiga
  Kyoto
  Osaka
  Hyogo
  Nara
  Wakayama
  Tottori
  Shimane
  Okayama
  Hiroshima
  Yamaguchi
  Tokushima
  Kagawa
  Ehime
  Kochi
  Fukuoka
  Saga
  Nagasaki
  Kumamoto
  Oita
  Miyazaki
  Kagoshima
  Okinawa
  Korea
  China
  Thailand
  United Kingdom
  Germany
  Switzerland
  France
  Belgium
  Netherlands
  Sweden
  Norway
  United States of America
Note
"Wiley finance"--Jacket
Description based on v. 3
Includes bibliographical references and index
Description and Table of Contents
- Volume
-
v. 3 ISBN 9780471218388
Description
"Professional Perspectives on Fixed Income Portfolio Management, Volume 3" is a valuable practitioner-oriented text that addresses current developments as well as key strategies and central theories in this field. Composed of sixteen articles written by experienced fixed income professionals, this volume contains hard-won practical knowledge and theory that will allow you to navigate today's market with poise and confidence. This comprehensive volume offers in-depth analysis of a wide range of fixed income portfolio management issues, including: the art of decision making in fixed income portfolio management; a disciplined approach to emerging markets debt investing; default and recovery rates in emerging markets; butterfly spread trading; loan versus pool level prepayment models; a case study demonstrating the value of credit-driven analysis in the mezzanine CMBS market; an introduction to credit derivatives for portfolio managers; credit default swaps...and much more.
For the financial professional who needs to understand the nuances of the latest fixed income products and techniques for fixed income portfolio management, "Professional Perspectives on Fixed Income Portfolio Management, Volume 3" offers the most current thinking from the most experienced professionals in this field. Increase your knowledge of this market and enhance your financial performance over the long term with 'Professional Perspectives on Fixed Income Portfolio Management, Volume 3."
Table of Contents
Preface. Contributing Authors. GENERAL FIXED INCOME PORTFOLIO MANAGEMENT. Fixed Income Portfolio Investing: The Art of Decision Making (C. Dialynas and E. Rachlin). Managing the Yield Curve with Principal Component Analysis (R. Axel and P. Vankudre). Approaches to Yield Spread Trading Using Government Bonds (M. Choudhry). CREDIT RISK. Default Curves and the Dynamics of Credit Spreads (W. Phoa). Credit Derivatives: An Introduction for Portfolio Managers (M. Choudhry). Credit Default Swap Primer (M. Gonzalez and L. Gibson). MBS--ABS PORTFOLIO MANAGEMENT. Replicating MBS Index Returns with TBAs and Large Pools (L. Dynkin, et al.). TBA Versus Seasoned Passthroughs (L. Goodman and J. Ho). Loan Versus Pool Level Prepayment Models (P. Elmer, et al.). Delinquency Metrics for Sub--Prime MBS Collateral and Their Implications for Investors (A. Bhattacharya and J. Griffin). The Value of Credit--Driven Analysis in the Mezzaine CMBS Market: A Case Study (R. Leese). EMERGING MARKET FIXED INCOME PORTFOLIO MANAGEMENT. A Disciplined Approach to Emerging Markets Debt Investing (M. Loucks, et al.). Default and Recovery Rates in Emerging Markets (T. Beloreshki). COLLATERALIZED DEBT OBLIGATIONS. Synthetic Multi--Sector CBOs (L. Gibson). The Default Cycle and Implications for CDO Valuation (R. Hurst). Considerations in Creating CDOs and Their Investment Implications (L. Goodman). Index.
- Volume
-
v. 4 ISBN 9780471268055
Description
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.
Table of Contents
Preface.
Contributing Authors.
FIXED INCOME ANALYSIS AND STRATEGIES.
Risk/Return Trade-Offs on Fixed Income Asset Classes (Laurent Gauthier and Laurie Goodman).
Fixed Income Risk Modeling for Portfolio Managers (Ludovic Breger).
Tracking Error (William Lloyd, Bharath Manium, and Mats Gustavsson).
Consistency of Carry Strategies in Europe (Antti Ilmanen and Roberto Fumagalli).
The Euro Benchmark Yield Curve: Principal Component Analysis of Yield Curve Dynamics (Lionel Martellini, Philippe Priaulet, and Stephane Priaulet).
Dollar Rolling?Does It Pay? (Jeffrey Ho and Laurie Goodman).
CREDIT RISK AND CREDIT DERIVATIVES.
Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis (Sivan Mahadevan, Young-Sup Lee, David Schwartz, Stephen Dulake, and Viktor Hjort).
Maturity, Capital Structure, and Credit Risk: Important Relationships for Portfolio Managers (Steven I. Dym).
A Unified Approach to Interest Rate Risk and Credit Risk of Cash and Derivative Instruments (Steven I. Dym).
Implications of Merton Models for Corporate Bond Investors (Wesley Phoa).
Some Issues in the Asset Swap Pricing of Credit Default Swaps (Moorad Choudhry).
Exploring the Default Swap Basis (Viktor Hjort).
The Valuation of Credit Default Swaps (Ren-Raw Chen, Frank J. Fabozzi, and Dominic O?Kane).
STRUCTURED PRODUCTS.
An Introduction to Residential ABS (John N. McElravey).
Nonagency Prepayments and the Valuation of Nonagency Securities (Steve Bergantino).
The Role and Performance of Deep Mortgage Insurance in Subprime ABS Markets (Anand K. Bhattacharya and Jonathan Lieber).
Some Investment Characteristics of GNMA Project Loan Securities (Arthur Q. Frank and James M. Manzi).
A Framework for Secondary Market CDO Valuation (Sivan Mahadevan and David Schwartz).
Understanding Commercial Real Estate CDOs (Brian P. Lancaster).
Aircraft Valuation-Based Modeling of Pooled Aircraft ABS (Mark A. Heberle).
Index.
by "Nielsen BookData"