Professional Perspectives on Fixed Income Portfolio Management V 1
Published on 15. June 2000
Book
Hardback
266 pages
978-1-883249-77-9 (ISBN)
Description
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.
More details
Language
English
Place of publication
New York
United States
Publishing group
John Wiley and Sons Ltd
Target group
College/higher education
Professional and scholarly
Illustrations
Illustrations
Dimensions
Height: 239 mm
Width: 161 mm
Thickness: 20 mm
Weight
539 gr
ISBN-13
978-1-883249-77-9 (9781883249779)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Person
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.
Content
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).
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).