Bond Portfolio Management

Bond Portfolio Management

by Frank J. Fabozzi

Hardcover(Older Edition)

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Product Details

ISBN-13: 9781883249083
Publisher: Wiley, John & Sons, Incorporated
Publication date: 03/28/1996
Edition description: Older Edition
Pages: 532
Product dimensions: 6.34(w) x 9.32(h) x 1.35(d)

About the Author

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

Table of Contents

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.

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