Advanced Bond Portfolio Management – Best Practices in Modeling and Strategies

<p>Preface ix</p>
<p>About the Editors xv</p>
<p>Contributing Authors xvii</p>
<p>PART ONE Background 1</p>
<p>CHAPTER 1 Overview of Fixed Income Portfolio Management 3<br />Frank J. Jones</p>
<p>CHAPTER 2 Liquidity, Trading, and Trading Costs 21<br />Leland E. Crabbe and Frank J. Fabozzi</p>
<p>CHAPTER 3 Portfolio Strategies for Outperforming a Benchmark 43<br />B&uuml;lent Bayg&uuml;n and Robert Tzucker</p>
<p>PART TWO Benchmark Selection and Risk Budgeting 63</p>
<p>CHAPTER 4 The Active Decisions in the Selection of Passive Management and Performance Bogeys 65<br />Chris P. Dialynas and Alfred Murata</p>
<p>CHAPTER 5 Liability–Based Benchmarks 97<br />Lev Dynkin, Jay Hyman, and Bruce D. Phelps</p>
<p>CHAPTER 6 Risk Budgeting for Fixed Income Portfolios 111<br />Frederick E. Dopfel</p>
<p>PART THREE Fixed Income Modeling</p>
<p>CHAPTER 7 Understanding the Building Blocks for OAS Models 131<br />Philip O. Obazee</p>
<p>CHAPTER 8 Fixed Income Risk Modeling 163<br />Ludovic Breger and Oren Cheyette</p>
<p>CHAPTER 9 Multifactor Risk Models and Their Applications 195<br />Lev Dynkin and Jay Hyman</p>
<p>PART FOUR Interest Rate Risk Management 247</p>
<p>CHAPTER 10 Measuring Plausibility of Hypothetical Interest Rate Shocks 249<br />Bennett W. Golub and Leo M. Tilman</p>
<p>CHAPTER 11 Hedging Interest Rate Risk with Term Structure Factor Models 267<br />Lionel Martellini, Philippe Priaulet, Frank J. Fabozzi, and Michael Luo</p>
<p>CHAPTER 12 Scenario Simulation Model for Fixed Income Portfolio Risk Management 291<br />Farshid Jamshidian and Yu Zhu</p>
<p>PART FIVE Credit Analysis and Credit Risk Management 311</p>
<p>CHAPTER 13 Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis 313<br />Sivan Mahadevan, Young–Sup Lee, Viktor Hjort, David Schwartz, and Stephen Dulake</p>
<p>CHAPTER 14 An Introduction to Credit Risk Models 355<br />Donald R. van Deventer</p>
<p>CHAPTER 15 Credit Derivatives and Hedging Credit Risk 373<br />Donald R. van Deventer</p>
<p>CHAPTER 16 Implications of Merton Models for Corporate Bond Investors 389<br />Wesley Phoa</p>
<p>CHAPTER 17 Capturing the Credit Alpha 407<br />David Soronow</p>
<p>PART SIX International Bond Investing 419</p>
<p>CHAPTER 18 Global Bond Investing for the 21st Century 421<br />Lee R. Thomas</p>
<p>CHAPTER 19 Managing a Multicurrency Bond Portfolio 445<br />Srichander Ramaswamy and Robert Scott</p>
<p>CHAPTER 20 A Disciplined Approach to Emerging Markets Debt Investing 479<br />Maria Mednikov Loucks, John A. Penicook, Jr., and Uwe Schillhorn</p>
<p>INDEX 533</p>