Bond Portfolio Management, 2nd EditionISBN: 978-1-883249-36-6
Hardcover
728 pages
November 2001
 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.
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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.
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