高级债券投资管理：建模与策略最佳实践 ADVANCED BOND PORTFOLIO MANAGEMENT pmlz 2025 pdf 下载 kindle mobi docx 百度云

In order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel

artellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that.

Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include:

General background information on fixed-income markets and bond portfolio strategies

The design of a strategy benchmark

Various aspects of fixed-income modeling that will provide key ingredients in

the implementation of an efficient portfolio and risk management process

Interest rate risk and credit risk management

Risk factors involved in the management of an international bond portfolio

Filled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.

作者简介:Frank J. Fabozzi, PhD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and a Fellow of the International Center for Finance. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School at MIT. He is the Editor of the Journal of Portfolio Management.

Preface

About the Editors

About the Authors

PART ONE: BACKGROUND

Chapter 1 Overview of Fixed Income Portfolio Management

Chapter 2 Liquidity, Trading, and Trading Costs

Chapter 3 Portfolio Strategies for Outperforming a Benchmark

PART TWO: BANCHMARK SELECTION AND RISK BUDGETING

Chapter 4 The Active Decisions in the Selection of Passive Management and Performance Bogeys

Chapter 5 Liability-Based Benchmarks

Chapter 6 Risk Budgeting for Fixed Income Portfolios

PART THREE: FIXED INCOME MODELING

Chapter 7 Understanding the Building Blocks for OAS Models

Chapter 8 Fixed Income Risk Modeling

Chapter 9 Multifactor Risk models and Their Applications

Chapter 10 Measuring Plausibility of Hypothetical Interest Rate Shocks

Chapter 11 Hedging Interest Rate Risk with Term Structure Factor Models

Chapter 12 Scenario Simulation Model for Fixed Income Portfolio Risk Management

PART FIVE: CREDIT ANALYSIS AND CREDIT RISK MANAGEMENT

Chapter 13 Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis

Chapter 14 An Introduction to Credit Risk Models

Chapter 15 Credit Derivatives and Hedging Credit Risk

Chapter 16 Implications of Merton Models for Corporate Bond Investors

Chapter 17 Capturing the Credit Alpha

PART SIX: INTERNATIONAL BOND INVESTING

Chapter 18 Global Bond Investing for the 21st Century

Chapter 19 Managing a Multicurrency Bond Portfolio

Chapter 20 A Disciplined Approach to Emerging Markets Debt Investing

Index

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书籍介绍

In order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that. Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include: General background information on fixed-income markets and bond portfolio strategies The design of a strategy benchmark Various aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process Interest rate risk and credit risk management Risk factors involved in the management of an international bond portfolio Filled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.