Professional Perspectives on Fixed Income Portfolio Management

by Fabozzi, Frank J.

• ISBN13: 9780471268055
• ISBN10: 0471268054
• Format: Hardcover
• Copyright: 2003-09-08
• Publisher: Wiley

Summary

Frank Fabozzi leads an international team of fixed income experts in analyzing subjects varying from active portfolio management against an index to credit analysis and debt covenants in emerging markets. This second volume is a captivating and systematic investment tool that presents practical techniques developed by today's best and brightest fixed-income practitioners.

Author Biography

FRANK J. FABOZZI, PhD, CFA, is editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management, and a consultant in the fixed-income and derivatives area. Frank is a Chartered Financial Analyst and Certified Public Accountant who has edited and authored many acclaimed books in finance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University.

Table of Contents

Preface	vii
Contributing Authors	xiv
FIXED INCOME ANALYSIS AND STRATEGIES
Risk/Return Trade-Offs on Fixed Income Asset Classes	1	(16)
Laurent Gauthier and Laurie Goodman
Fixed Income Risk Modeling for Portfolio Managers	17	(28)
Ludovic Breger
Tracking Error	45	(32)
William Lloyd, Bharath Manium, and Mats Gustavsson
Consistency of Carry Strategies in Europe	77	(26)
Antti Ilmanen and Roberto Fumagalli
The Euro Benchmark Yield Curve: Principal Component Analysis of Yield Curve Dynamics	103	(28)
Lionel Martellint, Philippe Priaulet, and Stéphane Priaulet
Dollar Rolling-Does It Pay?	131	(10)
Jeffrey Ho and Laurie Goodman
CREDIT RISK AND CREDIT DERIVATIVES
Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis	141	(42)
Sivan Mahadevan, Young-Sup Lee, David Schwartz, Stephen Dulake, and Viktor Hjort
Maturity, Capital Structure, and Credit Risk: Important Relationships for Portfolio Managers	183	(14)
Steven I. Dym
A Unified Approach to Interest Rate Risk and Credit Risk of Cash and Derivative Instruments	197	(14)
Steven I. Dym
Implications of Merton Models for Corporate Bond Investors	211	(18)
Wesley Phoa
Some Issues in the Asset Swap Pricing of Credit Default Swaps	229	(10)
Moorad Choudhry
Exploring the Default Swap Basis	239	(16)
Viktor Hjort
The Valuation of Credit Default Swaps	255	(26)
Ren-Raw Chen, Frank J. Fabozzi, and Dominic O'Kane
STRUCTURED PRODUCTS
An Introduction to Residential ABS	281	(22)
John N. McElravey
Nonagency Prepayments and the Valuation of Nonagency Securities	303	(22)
Steve Bergantino
The Role and Performance of Deep Mortgage Insurance in Subprime ABS Markets	325	(14)
Anand K. Bhattacharya and Jonathan Lieber
Some Investment Characteristics of ONMA Project Loan Securities	339	(26)
Arthur Q. Frank and James M. Manzi
A Framework for Secondary Market CDO Valuation	365	(30)
Sivan Mahadevan and David Schwartz
Understanding Commercial Real Estate CDOs	395	(36)
Brian P. Lancaster
Aircraft Valuation-Based Modeling of Pooled Aircraft ABS	431	(8)
Mark A. Heberle
Index	439