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Advanced bond portfolio management [[electronic resource] ] : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors
| Advanced bond portfolio management [[electronic resource] ] : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2006 |
| Descrizione fisica | 1 online resource (578 p.) |
| Disciplina |
332.63/23
332.6323 |
| Altri autori (Persone) |
FabozziFrank J
MartelliniLionel PriauletPhilippe |
| Collana | Frank J. Fabozzi series |
| Soggetto topico |
Bonds
Portfolio management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20115-2
1-280-28714-4 9786610287147 0-471-78576-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Advanced 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
Part 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 USEFULNESS 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? TERM 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 WHY 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 COMPARATIVE ANALYSIS OF VARIOUS HEDGING TECHNIQUES |
| Record Nr. | UNINA-9910143580403321 |
| Hoboken, N.J., : Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced bond portfolio management [[electronic resource] ] : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors
| Advanced bond portfolio management [[electronic resource] ] : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2006 |
| Descrizione fisica | 1 online resource (578 p.) |
| Disciplina |
332.63/23
332.6323 |
| Altri autori (Persone) |
FabozziFrank J
MartelliniLionel PriauletPhilippe |
| Collana | Frank J. Fabozzi series |
| Soggetto topico |
Bonds
Portfolio management |
| ISBN |
1-119-20115-2
1-280-28714-4 9786610287147 0-471-78576-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Advanced 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
Part 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 USEFULNESS 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? TERM 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 WHY 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 COMPARATIVE ANALYSIS OF VARIOUS HEDGING TECHNIQUES |
| Record Nr. | UNINA-9910830384603321 |
| Hoboken, N.J., : Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced bond portfolio management : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors
| Advanced bond portfolio management : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2006 |
| Descrizione fisica | 1 online resource (578 p.) |
| Disciplina | 332.63/23 |
| Altri autori (Persone) |
FabozziFrank J
MartelliniLionel PriauletPhilippe |
| Collana | Frank J. Fabozzi series |
| Soggetto topico |
Bonds
Portfolio management |
| ISBN |
1-119-20115-2
1-280-28714-4 9786610287147 0-471-78576-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Advanced 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
Part 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 USEFULNESS 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? TERM 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 WHY 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 COMPARATIVE ANALYSIS OF VARIOUS HEDGING TECHNIQUES |
| Record Nr. | UNINA-9910876934403321 |
| Hoboken, N.J., : Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysing and interpreting the yield curve / / Moorad Choudhry
| Analysing and interpreting the yield curve / / Moorad Choudhry |
| Autore | Choudhry Moorad |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Chichester, West Sussex, United Kingdom : , : Wiley, , 2019 |
| Descrizione fisica | 1 online resource (384 pages) |
| Disciplina | 332.63/23 |
| Collana |
Wiley finance
THEi Wiley ebooks. |
| Soggetto topico | Bonds - Valuation - Econometric models |
| ISBN |
1-119-44469-1
1-119-14105-2 1-119-14106-0 |
| Classificazione | BUS004000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910555258003321 |
Choudhry Moorad
|
||
| Chichester, West Sussex, United Kingdom : , : Wiley, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysing and interpreting the yield curve / / Moorad Choudhry
| Analysing and interpreting the yield curve / / Moorad Choudhry |
| Autore | Choudhry Moorad |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Chichester, West Sussex, United Kingdom : , : Wiley, , 2019 |
| Descrizione fisica | 1 online resource (384 pages) |
| Disciplina | 332.63/23 |
| Collana |
Wiley finance
THEi Wiley ebooks. |
| Soggetto topico | Bonds - Valuation - Econometric models |
| ISBN |
1-119-44469-1
1-119-14105-2 1-119-14106-0 |
| Classificazione | BUS004000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910824073403321 |
|
Choudhry Moorad
|
||
| Chichester, West Sussex, United Kingdom : , : Wiley, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysing and interpreting the yield curve [[electronic resource] /] / Moorad Choudhry
| Analysing and interpreting the yield curve [[electronic resource] /] / Moorad Choudhry |
| Autore | Choudhry Moorad |
| Pubbl/distr/stampa | Singapore, : Wiley, c2004 |
| Descrizione fisica | 1 online resource (375 p.) |
| Disciplina | 332.63/23 |
| Collana | Wiley finance |
| Soggetto topico | Bonds - Valuation - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-17710-X
1-283-40143-6 9786613401434 1-118-17712-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Introduction to bond yield and the yield curve -- pt. 2. Yield curve modeling -- pt. 3. Fitting the yield curve -- pt. 4. The yield curve and relative-value trading. |
| Record Nr. | UNINA-9910461593903321 |
|
Choudhry Moorad
|
||
| Singapore, : Wiley, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysing and interpreting the yield curve [[electronic resource] /] / Moorad Choudhry
| Analysing and interpreting the yield curve [[electronic resource] /] / Moorad Choudhry |
| Autore | Choudhry Moorad |
| Pubbl/distr/stampa | Singapore, : Wiley, c2004 |
| Descrizione fisica | 1 online resource (375 p.) |
| Disciplina | 332.63/23 |
| Collana | Wiley finance |
| Soggetto topico | Bonds - Valuation - Econometric models |
| ISBN |
1-118-17710-X
1-283-40143-6 9786613401434 1-118-17712-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Introduction to bond yield and the yield curve -- pt. 2. Yield curve modeling -- pt. 3. Fitting the yield curve -- pt. 4. The yield curve and relative-value trading. |
| Record Nr. | UNINA-9910789731003321 |
|
Choudhry Moorad
|
||
| Singapore, : Wiley, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysing and interpreting the yield curve / / Moorad Choudhry
| Analysing and interpreting the yield curve / / Moorad Choudhry |
| Autore | Choudhry Moorad |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore, : Wiley, c2004 |
| Descrizione fisica | 1 online resource (375 p.) |
| Disciplina | 332.63/23 |
| Collana | Wiley finance |
| Soggetto topico | Bonds - Valuation - Econometric models |
| ISBN |
1-118-17710-X
1-283-40143-6 9786613401434 1-118-17712-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Introduction to bond yield and the yield curve -- pt. 2. Yield curve modeling -- pt. 3. Fitting the yield curve -- pt. 4. The yield curve and relative-value trading. |
| Record Nr. | UNINA-9910815190303321 |
|
Choudhry Moorad
|
||
| Singapore, : Wiley, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond evaluation, selection, and management / / R. Stafford Johnson
| Bond evaluation, selection, and management / / R. Stafford Johnson |
| Autore | Johnson R. Stafford |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (908 p.) |
| Disciplina | 332.63/23 |
| Collana | Wiley finance series |
| Soggetto topico |
Bonds
Bonds - Ratings and rankings Bond market |
| ISBN |
0-470-64464-8
1-282-78255-X 9786612782558 1-118-26763-X 0-470-90436-4 0-470-64462-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Bond Evaluation, Selection, and Management, Second Edition + Website; Contents; Preface; Acknowledgments; Part One: Bond Evaluation; Part Two: Debt Markets; Part Three: Bond Strategies and the Evaluation of Bonds with Embedded Options; Part Four: Debt Derivatives: Futures and Options; Part Five: Swaps; Appendices; What's on the Companion Web Site; Answers and Solutions to Select End-of-Chapter Problems; Glossary of Terms; Index |
| Record Nr. | UNINA-9910140806303321 |
|
Johnson R. Stafford
|
||
| Hoboken, NJ, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond pricing and portfolio analysis [[electronic resource] ] : protecting investors in the long run / / Olivier de la Grandville
| Bond pricing and portfolio analysis [[electronic resource] ] : protecting investors in the long run / / Olivier de la Grandville |
| Autore | La Grandville Olivier de |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, 2001 |
| Descrizione fisica | xvii, 455 p. : ill |
| Disciplina | 332.63/23 |
| Soggetto topico |
Bonds - Prices
Interest rates Investment analysis Portfolio management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-09722-9
9786612097225 0-262-27424-8 1-4237-4679-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910455193303321 |
|
La Grandville Olivier de
|
||
| Cambridge, Mass., : MIT Press, 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
