高级债券投资管理：建模与策略最佳实践 ADVANCED BOND PORTFOLIO MANAGEMENT
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作者： ADVANCED BOND PORTFOLIO MANAGEMENT 等著
出 版 社： 吉林长白山
出版时间： 2006-12-1字数：版次： 1页数： 558印刷时间： 2005-12-01开本：印次：纸张： 胶版纸I S B N ： 9780471678908包装： 精装内容简介
In order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel artellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that.
Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include:
General background information on fixed-income markets and bond portfolio strategies
The design of a strategy benchmark
Various aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process
Interest rate risk and credit risk management
Risk factors involved in the management of an international bond portfolio
Filled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.
作者简介:Frank J. Fabozzi, PhD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and a Fellow of the International Center for Finance. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School at MIT. He is the Editor of the Journal of Portfolio Management.
目录
Preface
About the Editors
About the Authors
PART ONE: BACKGROUND
Chapter 1 Overview of Fixed Income Portfolio Management
Chapter 2 Liquidity, Trading, and Trading Costs
Chapter 3 Portfolio Strategies for Outperforming a Benchmark
PART TWO: BANCHMARK SELECTION AND RISK BUDGETING
Chapter 4 The Active Decisions in the Selection of Passive Management and Performance Bogeys
Chapter 5 Liability-Based Benchmarks
Chapter 6 Risk Budgeting for Fixed Income Portfolios
PART THREE: FIXED INCOME MODELING
Chapter 7 Understanding the Building Blocks for OAS Models
Chapter 8 Fixed Income Risk Modeling
Chapter 9 Multifactor Risk models and Their Applications
Chapter 10 Measuring Plausibility of Hypothetical Interest Rate Shocks
Chapter 11 Hedging Interest Rate Risk with Term Structure Factor Models
Chapter 12 Scenario Simulation Model for Fixed Income Portfolio Risk Management
PART FIVE: CREDIT ANALYSIS AND CREDIT RISK MANAGEMENT
Chapter 13 Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis
Chapter 14 An Introduction to Credit Risk Models
Chapter 15 Credit Derivatives and Hedging Credit Risk
Chapter 16 Implications of Merton Models for Corporate Bond Investors
Chapter 17 Capturing the Credit Alpha
PART SIX: INTERNATIONAL BOND INVESTING
Chapter 18 Global Bond Investing for the 21st Century
Chapter 19 Managing a Multicurrency Bond Portfolio
Chapter 20 A Disciplined Approach to Emerging Markets Debt Investing
Index
