Bond Portfolio Management
Autor Frank J Fabozzien Limba Engleză Hardback – 9 noi 2001
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Specificații
ISBN-13: 9781883249366
ISBN-10: 1883249368
Pagini: 728
Dimensiuni: 161 x 240 x 43 mm
Greutate: 1.25 kg
Ediția:2nd edition
Editura: Wiley
Locul publicării:Hoboken, United States
ISBN-10: 1883249368
Pagini: 728
Dimensiuni: 161 x 240 x 43 mm
Greutate: 1.25 kg
Ediția:2nd edition
Editura: Wiley
Locul publicării:Hoboken, United States
Cuprins
1. Introduction.
2. Investment Objectives of Institutional Investors.
SECTION I: THE INSTRUMENTS.
3. Bonds.
4. Agency Mortgage-Backed Securities.
5. Credit Sensitive Mortgage- and Asset-Backed Securities.
6. Interest Rate and Credit Derivatives.
7. Financing Positions.
SECTION II: VALUATION.
8. General Principles of Bond Valuation.
9. Valuation Methodologies.
10. Valuation of Interest Rate Derivative Instruments.
SECTION III: MEASURING POTENTIAL RETURN AND RISK EXPOSURE.
11. Total Return Framework.
12. Measuring Risk.
13. Measuring Interest Rate Risk.
14. Credit Analysis.
SECTION IV: PORTFOLIO MANAGEMENT STRATEGIES.
15. Managing Funds Against a Bond Market Index.
16. Managing Funds Against Liabilities.
17. Strategies with Futures and Swaps.
18. Strategies with Options, Caps, and Floors.
19. Managing a Global Bond Portfolio.
20. Measuring and Evaluating Performance.
Appendix: Tax Considerations.
Index.
2. Investment Objectives of Institutional Investors.
SECTION I: THE INSTRUMENTS.
3. Bonds.
4. Agency Mortgage-Backed Securities.
5. Credit Sensitive Mortgage- and Asset-Backed Securities.
6. Interest Rate and Credit Derivatives.
7. Financing Positions.
SECTION II: VALUATION.
8. General Principles of Bond Valuation.
9. Valuation Methodologies.
10. Valuation of Interest Rate Derivative Instruments.
SECTION III: MEASURING POTENTIAL RETURN AND RISK EXPOSURE.
11. Total Return Framework.
12. Measuring Risk.
13. Measuring Interest Rate Risk.
14. Credit Analysis.
SECTION IV: PORTFOLIO MANAGEMENT STRATEGIES.
15. Managing Funds Against a Bond Market Index.
16. Managing Funds Against Liabilities.
17. Strategies with Futures and Swaps.
18. Strategies with Options, Caps, and Floors.
19. Managing a Global Bond Portfolio.
20. Measuring and Evaluating Performance.
Appendix: Tax Considerations.
Index.
Notă biografică
Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.