Managing Fixed Income PortfoliosISBN: 978-1-883249-27-4
Hardcover
564 pages
June 1997
 This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
|
||||||
Preface.
SECTION I: INTEREST RATE RISK MEASURES.
1. Fixed Income Risk (R. Kahn).
2. Measuring and Managing Interest-Rate Risk (S. Richard and B. Gord).
3. Value Measures for Managing Interest-Rate Risk (M. Kreisler and R. Worley).
4. Dissecting Yield Curve Risk (W. Phoa).
5. Bond Convexity: Hidden Risk, Hidden Value (K. Grant).
6. Measuring Plausibility of Hypothetical Interest Rate Shocks (B. Golub and L. Tilman).
7. Valuation and Interest Rate Risk Management Using the Arbitrage-Free Bond Canonical Decomposition Methodology (T. Ho and M. Chen).
SECTION II: GENERATING EXPECTATIONAL INPUTS.
8. Fixed Income Portfolio Investing: The Art of Decision Making (C. Dialynas and E. Rachlin).
9. Forecasting Interest Rates (W. Woolford).
10. A Predictive Modeling Framework for Anticipating Long-Term Interest Rates (G. Boal and E. Plowden).
SECTION III: PORTFOLIO STRATEGIES: ACTIVE AND STRUCTURED.
11. Active Bond Portfolio Management: An Expected Return Approach (F. Trainer, Jr.).
12. Managing Indexed and Enhanced Indexed Bond Portfolios (K. Volpert).
13. Managing a Fixed Income Portfolio Versus a Liability Objective (R. Ryan).
14. Managing Market Risk at Long-Term Investment Funds (L. Gibson, III).
15. Managing Synthetic GIC Portfolios (K. Tourville and J. Caswell).
16. A User's Guide to Buy-Side Bond Trading (R. Gerber).
17. Fixed Income Arbitrage Strategies (J. Berens and R. Friend).
18. The Persistence of Fixed Income Style Performance: Evidence from Mutual Fund Data (R. Kahn and A. Rudd).
19. Consideration of Risk-Based Capital in Daily Portfolio Decisions for Life Insurers (J. Saf).
SECTION IV: MANAGEMENT BY PRODUCT.
20. Management of a High-Yield Bond Portfolio (J. Madden and J. Balestrino).
21. Managing Municipal Bond Portfolios (J. Slater).
22. Using Busted Convertibles to Enhance Performance (W. Leach).
23. A Practical Guide to Relative Value for Mortgages (W. Phoa).
24. Commercial Mortgage-Backed Securities: Real Estate Exposure with Managed Risk (J. DeMichele and W. Adams).
25. Corporate Loan Portfolio Management (E. Asarnow and M. McAdams).
SECTION V: INTERNATIONAL FIXED INCOME INVESTING.
26. International Bond Portfolio Management (C. Steward and J. Lynch).
27. International Fixed Income Investment: Philosophy and Process (A. Faillace and L. Thomas).
SECTION VI: PERFORMANCE EVALUATION.
28. Fixed Income Attribution Analysis (F. Jones and L. Peltzman).
29. Measuring Performance of the Insurance Company Portfolio (G. Hahn and J. Saf).
Index.
SECTION I: INTEREST RATE RISK MEASURES.
1. Fixed Income Risk (R. Kahn).
2. Measuring and Managing Interest-Rate Risk (S. Richard and B. Gord).
3. Value Measures for Managing Interest-Rate Risk (M. Kreisler and R. Worley).
4. Dissecting Yield Curve Risk (W. Phoa).
5. Bond Convexity: Hidden Risk, Hidden Value (K. Grant).
6. Measuring Plausibility of Hypothetical Interest Rate Shocks (B. Golub and L. Tilman).
7. Valuation and Interest Rate Risk Management Using the Arbitrage-Free Bond Canonical Decomposition Methodology (T. Ho and M. Chen).
SECTION II: GENERATING EXPECTATIONAL INPUTS.
8. Fixed Income Portfolio Investing: The Art of Decision Making (C. Dialynas and E. Rachlin).
9. Forecasting Interest Rates (W. Woolford).
10. A Predictive Modeling Framework for Anticipating Long-Term Interest Rates (G. Boal and E. Plowden).
SECTION III: PORTFOLIO STRATEGIES: ACTIVE AND STRUCTURED.
11. Active Bond Portfolio Management: An Expected Return Approach (F. Trainer, Jr.).
12. Managing Indexed and Enhanced Indexed Bond Portfolios (K. Volpert).
13. Managing a Fixed Income Portfolio Versus a Liability Objective (R. Ryan).
14. Managing Market Risk at Long-Term Investment Funds (L. Gibson, III).
15. Managing Synthetic GIC Portfolios (K. Tourville and J. Caswell).
16. A User's Guide to Buy-Side Bond Trading (R. Gerber).
17. Fixed Income Arbitrage Strategies (J. Berens and R. Friend).
18. The Persistence of Fixed Income Style Performance: Evidence from Mutual Fund Data (R. Kahn and A. Rudd).
19. Consideration of Risk-Based Capital in Daily Portfolio Decisions for Life Insurers (J. Saf).
SECTION IV: MANAGEMENT BY PRODUCT.
20. Management of a High-Yield Bond Portfolio (J. Madden and J. Balestrino).
21. Managing Municipal Bond Portfolios (J. Slater).
22. Using Busted Convertibles to Enhance Performance (W. Leach).
23. A Practical Guide to Relative Value for Mortgages (W. Phoa).
24. Commercial Mortgage-Backed Securities: Real Estate Exposure with Managed Risk (J. DeMichele and W. Adams).
25. Corporate Loan Portfolio Management (E. Asarnow and M. McAdams).
SECTION V: INTERNATIONAL FIXED INCOME INVESTING.
26. International Bond Portfolio Management (C. Steward and J. Lynch).
27. International Fixed Income Investment: Philosophy and Process (A. Faillace and L. Thomas).
SECTION VI: PERFORMANCE EVALUATION.
28. Fixed Income Attribution Analysis (F. Jones and L. Peltzman).
29. Measuring Performance of the Insurance Company Portfolio (G. Hahn and J. Saf).
Index.
Related Titles
More From This Series
More By This Author
View the Series
.png){kind=small}
Join An E-mail ListLearn about the latest products, events, offers and content. |
