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Informationen zum Autor FRANK J. FABOZZI! PhD! CFA! is editor of the Journal of Portfolio Management! the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management! and a consultant in the fixed-income and derivatives area. Frank is a Chartered Financial Analyst and Certified Public Accountant who has edited and authored many acclaimed books in finance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University. Klappentext An in-depth analysis of fixed income portfolio managementVolume 4 of Professional Perspectives on Fixed Income Portfolio Management continues a successful series that covers many diverse topics in fixed income portfolio management. This practitioner-oriented text addresses current developments as well as key strategies and central theories in this field-volatility frameworks for the corporate market and credit derivatives in portfolio management to name just a few. Containing valuable insights from seasoned experts! Professional Perspectives on Fixed Income Portfolio Management! Volume 4 discusses risk control! risk management for fixed income management! and much more.Frank J. Fabozzi (New Hope! PA) is a financial consultant! the Editor of the Journal of Portfolio Management! and Adjunct Professor of Finance at Yale Universitys School of Management. Zusammenfassung Professional Perspectives on Fixed Income Portfolio Management! Volume 4 is a valuable practitioner-oriented text that addresses the current developments as well as key strategies and central theories in this field. Inhaltsverzeichnis Preface. Contributing Authors. FIXED INCOME ANALYSIS AND STRATEGIES. Risk/Return Trade-Offs on Fixed Income Asset Classes (Laurent Gauthier and Laurie Goodman). Fixed Income Risk Modeling for Portfolio Managers (Ludovic Breger). Tracking Error (William Lloyd! Bharath Manium! and Mats Gustavsson). Consistency of Carry Strategies in Europe (Antti Ilmanen and Roberto Fumagalli). The Euro Benchmark Yield Curve: Principal Component Analysis of Yield Curve Dynamics (Lionel Martellini! Philippe Priaulet! and Stephane Priaulet). Dollar RollingAC - Does It Pay? (Jeffrey Ho and Laurie Goodman). CREDIT RISK AND CREDIT DERIVATIVES. Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis (Sivan Mahadevan! Young-Sup Lee! David Schwartz! Stephen Dulake! and Viktor Hjort). Maturity! Capital Structure! and Credit Risk: Important Relationships for Portfolio Managers (Steven I. Dym). A Unified Approach to Interest Rate Risk and Credit Risk of Cash and Derivative Instruments (Steven I. Dym). Implications of Merton Models for Corporate Bond Investors (Wesley Phoa). Some Issues in the Asset Swap Pricing of Credit Default Swaps (Moorad Choudhry). Exploring the Default Swap Basis (Viktor Hjort). The Valuation of Credit Default Swaps (Ren-Raw Chen! Frank J. Fabozzi! and Dominic O'Kane). STRUCTURED PRODUCTS. An Introduction to Residential ABS (John N. McElravey). Nonagency Prepayments and the Valuation of Nonagency Securities (Steve Bergantino). The Role and Performance of Deep Mortgage Insurance in Subprime ABS Markets (Anand K. Bhattacharya and Jonathan Lieber). Some Investment Characteristics of GNMA Project Loan Securities (Arthur Q. Frank and James M. Manzi). A Framework for Secondary Market CDO Valuation (Sivan Mahadevan and David Schwartz). Understanding Commercial Real Estate CDOs (Brian P. Lancaster). Aircraft Valuation-Based Modeling of Pooled Aircraft ABS (Mark A. Heberle). Index. ...
