The Handbook of European Fixed Income Securities

ABOUT THE EDITORS.

CONTRIBUTING AUTHORS.

SECTION ONE: Background.

CHAPTER 1: Introduction to European Fixed Income Securities and Markets (Moorad Choudhry, Frank J. Fabozzi, and Steven V. Mann).

CHAPTER 2: Bondholder Value versus Shareholder Value (Claus Huber).

CHAPTER 3: Bond Pricing and Yield Measures (Frank J. Fabozzi and Steven V. Mann).

CHAPTER 4: Measuring Interest Rate Risk (Frank J. Fabozzi and Steven V. Mann).

SECTION TWO: Products.

CHAPTER 5: The Euro Government Bond Market (Antonio Villarroya).

CHAPTER 6: The Eurobond Market (David Munves).

CHAPTER 7: The German Pfandbrief and European Covered Bonds Market (Graham “Harry” Cross).

CHAPTER 8: European Inflation-Linked Bonds (Barclays Capital Inflation-Linked Research Team).

CHAPTER 9: The United Kingdom Gilts Market (Moorad Choudhry).

CHAPTER 10: The European Repo Market (Moorad Choudhry).

CHAPTER 11: European Residential Mortgage-Backed Securities (Phil Adams).

CHAPTER 12: European Commercial Mortgage-Backed Securities (Phil Adams).

CHAPTER 13: European Credit Card ABS (Markus Niemeier).

CHAPTER 14: European Auto and Consumer Loan ABS (Markus Niemeier).

CHAPTER 15: Structured Credit: Cash Flow and Synthetic CDOs (Oldrich Masek and Moorad Choudhry).

SECTION THREE: Interest Rate and Credit Derivatives.

CHAPTER 16: European Interest Rate Futures: Instruments and Applications (Brian A. Eales).

CHAPTER 17: Interest Rate Options (Lawrence Galitz).

CHAPTER 18: Pricing Options on Interest Rate Instruments (Brian A. Eales and Radu Tunaru).

CHAPTER 19: Interest Rate Swaps (Frank J. Fabozzi and Steven V. Mann).

CHAPTER 20: A Practical Guide to Swap Curve Construction (Uri Ron).

CHAPTER 21: Credit Derivatives (Richard Pereira, Rod Pienaar, and Moorad Choudhry).

CHAPTER 22: The Pricing of Credit Default Swaps and Synthetic Collateralized Debt Obligations (Greg Gentile, David Jefferds, and Warren Saft).

SECTION FOUR: Portfolio Management.

CHAPTER 23: Fixed Income Risk Modeling for Portfolio Managers (Ludovic Breger).

CHAPTER 24: An Empirical Analysis of the Domestic and Euro Yield Curve Dynamics (Lionel Martellini, Philippe Priaulet, and Stéphane Priaulet).

CHAPTER 25: Tracking Error (William Lloyd, Bharath K. Manium, and Mats Gustavsson).

CHAPTER 26: Portfolio Strategies for Outperforming a Benchmark (William T. Lloyd and Bharath K. Manium).

CHAPTER 27: Credit in Bond Portfolios (Claus Huber and Helmut Kaiser).

CHAPTER 28: Default and Recovery Rates in the Emerging European High-Yield Market (Mariarosa Verde

CHAPTER 29: Analysis and Evaluation of Corporate Bonds (Christoph Klein).

SECTION FIVE: Legal Considerations.

CHAPTER 30: Legal and Documentation Issues on Bonds Issuances (Lourdes Villar-Garcia and Trusha Patel).

CHAPTER 31: Trust and Agency Services in the Debt Capital Markets (Nick Procter and Edmond Leedham).

INDEX.