A contributed handbook on the complexities of portfolio management that includes the most up-to-date findings from leading practitioners in the fixed income securities market.
A contributed handbook on the complexities of portfolio management that includes the most up-to-date findings from leading practitioners in the fixed income securities market.
Inhaltsverzeichnis
Preface.
SECTION I: INTEREST RATE RISK MEASURES.
1. Fixed Income Risk (R. Kahn).
2. Measuring and Managing Interest-Rate Risk (S. Richard and B. Gord).
3. Value Measures for Managing Interest-Rate Risk (M. Kreisler and R. Worley).
4. Dissecting Yield Curve Risk (W. Phoa).
5. Bond Convexity: Hidden Risk, Hidden Value (K. Grant).
6. Measuring Plausibility of Hypothetical Interest Rate Shocks (B. Golub and L. Tilman).
7. Valuation and Interest Rate Risk Management Using the Arbitrage-Free Bond Canonical Decomposition Methodology (T. Ho and M. Chen).
SECTION II: GENERATING EXPECTATIONAL INPUTS.
8. Fixed Income Portfolio Investing: The Art of Decision Making (C. Dialynas and E. Rachlin).
9. Forecasting Interest Rates (W. Woolford).
10. A Predictive Modeling Framework for Anticipating Long-Term Interest Rates (G. Boal and E. Plowden).
SECTION III: PORTFOLIO STRATEGIES: ACTIVE AND STRUCTURED.
11. Active Bond Portfolio Management: An Expected Return Approach (F. Trainer, Jr.).
12. Managing Indexed and Enhanced Indexed Bond Portfolios (K. Volpert).
13. Managing a Fixed Income Portfolio Versus a Liability Objective (R. Ryan).
14. Managing Market Risk at Long-Term Investment Funds (L. Gibson, III).
15. Managing Synthetic GIC Portfolios (K. Tourville and J. Caswell).
16. A User's Guide to Buy-Side Bond Trading (R. Gerber).
17. Fixed Income Arbitrage Strategies (J. Berens and R. Friend).
18. The Persistence of Fixed Income Style Performance: Evidence from Mutual Fund Data (R. Kahn and A. Rudd).
19. Consideration of Risk-Based Capital in Daily Portfolio Decisions for Life Insurers (J. Saf).
SECTION IV: MANAGEMENT BY PRODUCT.
20. Management of a High-Yield Bond Portfolio (J. Madden and J. Balestrino).
21. Managing Municipal Bond Portfolios (J. Slater).
22. Using Busted Convertibles to Enhance Performance (W. Leach).
23. A Practical Guide to Relative Value for Mortgages (W. Phoa).
24. Commercial Mortgage-Backed Securities: Real Estate Exposure with Managed Risk (J. DeMichele and W. Adams).
25. Corporate Loan Portfolio Management (E. Asarnow and M. McAdams).
SECTION V: INTERNATIONAL FIXED INCOME INVESTING.
26. International Bond Portfolio Management (C. Steward and J. Lynch).
27. International Fixed Income Investment: Philosophy and Process (A. Faillace and L. Thomas).
SECTION VI: PERFORMANCE EVALUATION.
28. Fixed Income Attribution Analysis (F. Jones and L. Peltzman).
29. Measuring Performance of the Insurance Company Portfolio (G. Hahn and J. Saf).
Index.
