Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies
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 strategies
- The design of a strategy benchmark
- Various aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process
- Interest rate risk and credit risk management
- Risk factors involved in the management of an international bond portfolio
Filled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.
About the Editors.
About the Authors.
PART ONE: BACKGROUND.
Chapter 1. Overview of Fixed Income Portfolio Management.
Chapter 2. Liquidity, Trading, and Trading Costs.
Chapter 3. Portfolio Strategies for Outperforming a Benchmark.
PART TWO: BANCHMARK SELECTION AND RISK BUDGETING.
Chapter 4. The Active Decisions in the Selection of Passive Management and Performance Bogeys.
Chapter 5. Liability-Based Benchmarks.
Chapter 6. Risk Budgeting for Fixed Income Portfolios.
PART THREE: FIXED INCOME MODELING.
Chapter 7. Understanding the Building Blocks for OAS Models.
Chapter 8. Fixed Income Risk Modeling.
Chapter 9. Multifactor Risk models and Their Applications.
Chapter 10. Measuring Plausibility of Hypothetical Interest Rate Shocks.
Chapter 11. Hedging Interest Rate Risk with Term Structure Factor Models.
Chapter 12. Scenario Simulation Model for Fixed Income Portfolio Risk Management.
PART FIVE: CREDIT ANALYSIS AND CREDIT RISK MANAGEMENT.
Chapter 13. Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis.
Chapter 14. An Introduction to Credit Risk Models.
Chapter 15. Credit Derivatives and Hedging Credit Risk.
Chapter 16. Implications of Merton Models for Corporate Bond Investors.
Chapter 17. Capturing the Credit Alpha.
PART SIX: INTERNATIONAL BOND INVESTING.
Chapter 18. Global Bond Investing for the 21st Century.
Chapter 19. Managing a Multicurrency Bond Portfolio.
Chapter 20. A Disciplined Approach to Emerging Markets Debt Investing.
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.