Managing Fixed Income PortfoliosFrank J. Fabozzi 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. |
Contents
Measuring and Managing InterestRate Risk | 19 |
Value Measures for Managing InterestRate Risk | 31 |
Dissecting Yield Curve Risk | 43 |
Hidden Risk Hidden Value | 59 |
Measuring Plausibility of Hypothetical Interest Rate Shocks | 73 |
Valuation and Interest Rate Risk Management Using | 87 |
Generating Expectational Inputs | 103 |
Forecasting Interest Rates | 133 |
Managing Synthetic GIC Portfolios | 253 |
A Users Guide to BuySide Bond Trading | 277 |
Fixed Income Arbitrage Strategies | 291 |
Consideration of RiskBased Capital | 309 |
Managing Municipal Bond Portfolios | 333 |
Using Busted Convertibles to Enhance Performance | 349 |
Corporate Loan Portfolio Management | 397 |
Philosophy and Process | 451 |
A Predictive Modeling Framework | 149 |
Portfolio Strategies Active and Structured | 165 |
Managing Indexed and Enhanced Indexed Bond Portfolios | 191 |
Managing a Fixed Income Portfolio Versus a Liability Objective | 213 |
Managing Market Risk at LongTerm Investment Funds | 227 |
Common terms and phrases
allocation analysis arbitrage asset class average banks basis points benchmark bond and currency Bond Index bond market bond portfolio calculated CALRBC ratio capital cash flows changes CMBS convexity correlation cost coupon crediting rate currency exposure debt default discount economic effective duration equity estimate example Exhibit expected return Fabozzi fixed income arbitrage forecast funds future hedged high-yield hurdles impact increase inflation insurance company interest rate risk international bonds investment management investors issuer issues key rate Lehman Lehman Brothers liabilities liquidity loan market value maturity measure mortgage municipal NAIC option outperform performance period portfolio manager position premium prepayment principal component real estate relative value risk factors Salomon Brothers scenarios sector securities shift short-term standard deviation strategies surplus tion total return tracking error trading transaction U.S. dollar unhedged valuation value at risk versus volatility volatility risk weighted yield curve yield spread zero-coupon