Professional Perspectives on Fixed Income Portfolio Management, Volume 3

Overview

professional perspectives on fixed income portfolio management volume 3

Professional Perspectives on Fixed Income Portfolio Management, Volume 3 is a valuable practitioner-oriented text that addresses current developments as well as key strategies and central theories in this field. Composed of sixteen articles written by experienced fixed income professionals, this volume contains hard-won practical knowledge and theory that will allow you to ...

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Overview

professional perspectives on fixed income portfolio management volume 3

Professional Perspectives on Fixed Income Portfolio Management, Volume 3 is a valuable practitioner-oriented text that addresses current developments as well as key strategies and central theories in this field. Composed of sixteen articles written by experienced fixed income professionals, this volume contains hard-won practical knowledge and theory that will allow you to navigate today's market with poise and confidence.

This comprehensive volume offers in-depth analysis of a wide range of fixed income portfolio management issues, including:
* The art of decision making in fixed income portfolio management
* A disciplined approach to emerging markets debt investing
* Default and recovery rates in emerging markets
* Butterfly spread trading
* Loan versus pool level prepayment models
* A case study demonstrating the value of credit-driven analysis in the mezzanine CMBS market
* An introduction to credit derivatives for portfolio managers
* Credit default swaps

. . . and much more.

For the financial professional who needs to understand the nuances of the latest fixed income products and techniques for fixed income portfolio management, Professional Perspectives on Fixed Income Portfolio Management, Volume 3 offers the most current thinking from the most experienced professionals in this field. Increase your knowledge of this market and enhance your financial performance over the long term with Professional Perspectives on Fixed Income Portfolio Management, Volume 3.

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What People Are Saying

From the Publisher
"If you want to learn about some finanacial instrument, institution, theory or practice, see if Frank Fabozzi has written, edited or published on the subject. It is likely to be the definitive work." (Harry M. Markowitz, Nobel Laureate, Economics, 1990)

"Frank Fabozzi's series is the gold standard for investment reference books. Always topical and often influential this is the first place I send students or practitioners when they want to get up to speed on a new area." (Stephen A. Ross, Franco Modigliani Professor of Finance and Economics, Sloan School, MIT)

"The Fabozzi series provides the ultimate educational encyclopedia for the global debt capital markets. Each day, billions of dollars of debt securities trade around the world according to the principles clearly and comprehensively explained in this unrivaled series dedicated to the advancement of our knowledge-based profession." (Jack Malvey, Managing Director, Chief Global Fixed-Income Strategist, Lehman Brothers)

"When in doubt, you can always look it up in a book by Frank Fabozzi. Fabozzi, who's not called the Prolific Professor for nothing, has written or edited dozens of textbooks on investing--all rock-solid, for advanced investors only." (Jason Zwieg, Money.com)

Harry M. Markowitz
If you want to learn about some finanacial instrument, institution, theory or practice, see if Frank Fabozzi has written, edited or published on the subject. It is likely to be the definitive work.(Harry M. Markowitz, Nobel Laureate, Economics, 1990)
Stephen A. Ross
Frank Fabozzi's series is the gold standard for investment reference books. Always topical and often influential this is the first place I send students or practitioners when they want to get up to speed on a new area.(Stephen A. Ross, Franco Modigliani Professor of Finance and Economics, Sloan School, MIT)
Jack Malvey
The Fabozzi series provides the ultimate educational encyclopedia for the global debt capital markets. Each day, billions of dollars of debt securities trade around the world according to the principles clearly and comprehensively explained in this unrivaled series dedicated to the advancement of our knowledge-based profession.(Jack Malvey, Managing Director, Chief Global Fixed-Income Strategist, Lehman Brothers)
Jason Zwieg
When in doubt, you can always look it up in a book by Frank Fabozzi. Fabozzi, who's not called the Prolific Professor for nothing, has written or edited dozens of textbooks on investing—all rock-solid, for advanced investors only.(Jason Zwieg, Money.com)
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Product Details

  • ISBN-13: 9780471218388
  • Publisher: Wiley, John & Sons, Incorporated
  • Publication date: 4/5/2002
  • Series: Frank J. Fabozzi Series , #98
  • Edition number: 1
  • Pages: 306
  • Product dimensions: 5.90 (w) x 9.10 (h) x 1.00 (d)

Meet the Author

FRANK J. FABOZZI, PhD, CFP, is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's School of Management. Dr. Fabozzi is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate in economics from the City University of New York in 1972 and, in 1994, received an honorary doctorate of humane letters from Nova Southeastern University. Dr. Fabozzi is a Fellow of the International Center for Finance at Yale University.
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Table of Contents

Preface.

Contributing Authors.

GENERAL FIXED INCOME PORTFOLIO MANAGEMENT.

Fixed Income Portfolio Investing: The Art of Decision Making (C. Dialynas and E. Rachlin).

Managing the Yield Curve with Principal Component Analysis (R. Axel and P. Vankudre).

Approaches to Yield Spread Trading Using Government Bonds (M. Choudhry).

CREDIT RISK.

Default Curves and the Dynamics of Credit Spreads (W. Phoa).

Credit Derivatives: An Introduction for Portfolio Managers (M. Choudhry).

Credit Default Swap Primer (M. Gonzalez and L. Gibson).

MBS-ABS PORTFOLIO MANAGEMENT.

Replicating MBS Index Returns with TBAs and Large Pools (L. Dynkin, et al.).

TBA Versus Seasoned Passthroughs (L. Goodman and J. Ho).

Loan Versus Pool Level Prepayment Models (P. Elmer, et al.).

Delinquency Metrics for Sub-Prime MBS Collateral and Their Implications for Investors (A. Bhattacharya and J. Griffin).

The Value of Credit-Driven Analysis in the Mezzaine CMBS Market: A Case Study (R. Leese).

EMERGING MARKET FIXED INCOME PORTFOLIO MANAGEMENT.

A Disciplined Approach to Emerging Markets Debt Investing (M. Loucks, et al.).

Default and Recovery Rates in Emerging Markets (T. Beloreshki).

COLLATERALIZED DEBT OBLIGATIONS.

Synthetic Multi-Sector CBOs (L. Gibson).

The Default Cycle and Implications for CDO Valuation (R. Hurst).

Considerations in Creating CDOs and Their Investment Implications (L. Goodman).

Index.

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