Advanced Bond Portfolio Management Best Practices in Modeling and Strategies

by Fabozzi, Frank J.; Martellini, Lionel; Priaulet, Philippe

• ISBN13: 9780471678908
• ISBN10: 0471678902
• Edition: 1st
• Format: Hardcover
• Copyright: 2005-12-07
• Publisher: Wiley

Summary

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 Martellini, 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 strategiesThe design of a strategy benchmarkVarious aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management processInterest rate risk and credit risk managementRisk factors involved in the management of an international bond portfolioFilled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.

Author Biography

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.

Lionel Martellini, PhD, is Professor of Finance at EDHEC Graduate School of Business in France and the Scientific Director of EDHEC Risk and Asset Management Research Centre. A former member of the faculty at the Marshall School of Business, University of Southern California, he holds Master's Degrees in Business Administration, Economics, Statistics, and Mathematics, as well as a PhD in Finance from the Haas School of Business, University of California, Berkeley.

Philippe Priaulet, PHD, is the Head of Global Strategy at Natexis Banques Populaires. He is also an Associate Professor in the Department of Mathematics at the Université of Evry Val d'Essonne. He holds Master's Degrees in Business Administration and Mathematics as well as a PhD in Financial Economics from the Université Paris IX Dauphine.

Table of Contents

Preface	ix
About the Editors	xv
Contributing Authors	xvii
PART ONE Background	1	(62)
Overview of Fixed Income Portfolio Management	3	(18)
Frank J. Jones
Liquidity, Trading, and Trading Costs	21	(22)
Leland E. Crabbe
Frank J. Fabozzi
Portfolio Strategies for Outperforming a Benchmark	43	(20)
Bulent Baygun
Robert Tzucker
PART TWO Benchmark Selection and Risk Budgeting	63	(184)
The Active Decisions in the Selection of Passive Management and Performance Bogeys	65	(32)
Chris P. Dialynas
Alfred Murata
Liability-Based Benchmarks	97	(14)
Lev Dynkin
Jay Hyman
Bruce D. Phelps
Risk Budgeting for Fixed Income Portfolios	111	(20)
Frederick E. Dopfel
PART THREE Fixed Income Modeling
Understanding the Building Blocks for OAS Models	131	(32)
Philip O. Obazee
Fixed Income Risk Modeling	163	(32)
Ludovic Breger
Oren Cheyette
Multifactor Risk Models and Their Applications	195	(52)
Lev Dynkin
Jay Hyman
PART FOUR Interest Rate Risk Management	247	(64)
Measuring Plausibility of Hypothetical Interest Rate Shocks	249	(18)
Bennett W. Golub
Leo M. Tilman
Hedging Interest Rate Risk with Term Structure Factor Models	267	(24)
Lionel Martellini
Philippe Priaulet
Frank J. Fabozzi
Michael Luo
Scenario Simulation Model for Fixed Income Portfolio Risk Management	291	(20)
Farshid Jamshidian
Yu Zhu
PART FIVE Credit Analysis and Credit Risk Management	311	(108)
Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis	313	(42)
Sivan Mahadevan
Young-Sup Lee
Viktor Hjort
David Schwartz
Stephen Dulake
An Introduction to Credit Risk Models	355	(18)
Donald R. van Deventer
Credit Derivatives and Hedging Credit Risk	373	(16)
Donald R. van Deventer
Implications of Merton Models for Corporate Bond Investors	389	(18)
Wesley Phoa
Capturing the Credit Alpha	407	(12)
David Soronow
PART SIX International Bond Investing	419	(114)
Global Bond Investing for the 21st Century	421	(24)
Lee R. Thomas
Managing a Multicurrency Bond Portfolio	445	(34)
Srichander Ramaswamy
Robert Scott
A Disciplined Approach to Emerging Markets Debt Investing	479	(54)
Maria Mednikov Loucks
John A. Penicook, Jr.
Uwe Schillhorn
Index	533