LEADER 05397nam 2200673 a 450 001 9910143580403321 005 20170815122138.0 010 $a1-119-20115-2 010 $a1-280-28714-4 010 $a9786610287147 010 $a0-471-78576-8 035 $a(CKB)1000000000355430 035 $a(EBL)242897 035 $a(OCoLC)62839379 035 $a(SSID)ssj0000097618 035 $a(PQKBManifestationID)11543252 035 $a(PQKBTitleCode)TC0000097618 035 $a(PQKBWorkID)10120635 035 $a(PQKB)11295636 035 $a(MiAaPQ)EBC242897 035 $a(EXLCZ)991000000000355430 100 $a20060320d2006 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aAdvanced bond portfolio management$b[electronic resource] $ebest practices in modeling and strategies /$fFrank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors 210 $aHoboken, N.J. $cWiley$dc2006 215 $a1 online resource (578 p.) 225 1 $aFrank J. Fabozzi series 300 $aDescription based upon print version of record. 311 $a0-471-67890-2 320 $aIncludes bibliographical references and index. 327 $aAdvanced Bond Portfolio Management: Best Practices in Modeling and Strategies; Contents; Preface; About the Editors; Contributing Authors; Part One: Background; Chapter 1: Overview of Fixed Income Portfolio Management; FIXED INCOME INVESTMENT STRATEGIES; EX POST PORTFOLIO EVALUATION ANALYSIS; CONCLUSION; APPENDIX; Chapter 2: Liquidity, Trading, and Trading Costs; LIQUIDITY AND TRADING COSTS; CORPORATE BOND SWAPS; CONCLUSION; Chapter 3: Portfolio Strategies for Outperforming a Benchmark; SELECTING THE BENCHMARK INDEX; CREATING A CUSTOM INDEX; BEATING THE BENCHMARK INDEX; CONCLUSION 327 $aPart Two: Benchmark Selection and Risk BudgetingChapter 4: The Active Decisions in the Selection of Passive Management and Performance Bogeys; ACTIVE BOND MANAGEMENT; PERFORMANCE CHARACTERISTICS OF CALLABLE AND NONCALLABLE BONDS; FIXED INCOME INDICES; COMPARISON OF COMPOSITION AND PERFORMANCE OF THE LBGC AND LBAG OVER TIME; FIXED INCOME INDEX SELECTION; THE EXLUSION OF TREASURY INFLATION PROTECTED SECURITIES; THE IMPORTANCE OF CHANGES IN THE SHAPE OF YIELD CURVE; INDEX CONSCIOUSNESS; SOME IMPORTANT MISCELLANEOUS COMMENTS ABOUT INDEXES; CONCLUSION; Chapter 5: Liability-Based Benchmarks 327 $aUSEFULNESS OF LIABILITY-BASED BENCHMARKSTYPES OF LIABILITY-BASED BENCHMARKS; BUILDING A LIABILITY-BASED PORTFOLIO BENCHMARK; EXAMPLE: CREATING COMPOSITE AND PORTFOLIO BENCHMARKS; CONCLUSION; Chapter 6: Risk Budgeting for Fixed Income Portfolios; BENCHMARKS AND RISK; SOURCES OF RISK; NORMAL PORTFOLIOS AND STYLE ANALYSIS; OPTIMAL RISK BUDGETING; SUMMARY; Part Three: Fixed Income Modeling; Chapter 7: Understanding the Building Blocks for OAS Models; IS IT EQUILIBRIUM OR AN ARBITRAGE MODEL?; WHICH IS THE RIGHT MODEL OF THE INTEREST RATE PROCESS? 327 $aTERM STRUCTURE MODELS: WHICH IS THE RIGHT APPROACH FOR OAS?IS THERE A RIGHT WAY TO MODEL PREPAYMENTS?; CONCLUSION; APPENDIX: VARIANCE-REDUCTION TECHNIQUES; Chapter 8: Fixed Income Risk Modeling; MODELING FRAMEWORK; INTEREST RATE RISK; SPREAD RISK- THE CONVENTIONAL APPROACH; DETAILED CREDIT SPREAD FACTORS; EMPIRICAL CREDIT RISK; IMPLIED PREPAYMENT RISK; IMPLIED VOLATILITY RISK; SPECIFIC RISK; CURRENCY RISK; GLOBAL MODEL INTEGRATION; THE MODEL IN ACTION; SUMMARY; Chapter 9: Multifactor Risk Models and Their Applications*; QUANTIFYING RISK; PORTFOLIO MANAGEMENT WITH THE RISK MODEL 327 $aWHY A MULTIFACTOR MODEL?THE RISK REPORT; RISK MODEL APPLICATIONS; SUMMARY; Part Four: Interest Rate Risk Management; Chapter 10: Measuring Plausibility of Hypothetical Interest Rate Shocks; PROBABILISTIC DISTRIBUTION OF HYPOTHETICAL INTEREST RATE SHOCKS; SHAPE PLAUSIBILITY; FIRST PRINCIPAL COMPONENT AND THE TERM STRUCTURE OF VOLATILITY; CONCLUSION; Chapter 11: Hedging Interest Rate Risk with Term Structure Factor Models; DEFINING INTEREST RATE RISK( S); HEDGING WITH DURATION; RELAXING THE ASSUMPTION OF A SMALL SHIFT; RELAXING THE ASSUMPTION OF A PARALLEL SHIFT 327 $aCOMPARATIVE ANALYSIS OF VARIOUS HEDGING TECHNIQUES 330 $aIn order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that. Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art tec 410 0$aFrank J. Fabozzi series. 606 $aBonds 606 $aPortfolio management 608 $aElectronic books. 615 0$aBonds. 615 0$aPortfolio management. 676 $a332.63/23 676 $a332.6323 701 $aFabozzi$b Frank J$0109596 701 $aMartellini$b Lionel$0614495 701 $aPriaulet$b Philippe$0614496 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910143580403321 996 $aAdvanced bond portfolio management$92245011 997 $aUNINA