Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies

Advanced Bond Portfolio Management represents a collection of the combined expertise of more than 30 experienced participants in the bond market, guiding the reader through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management.

Introduction:

In the face of a rapidly increasing complexity of instruments and strategies, this book aims at presenting state-of-the-art of techniques related to portfolio strategies and risk management in bond markets. Over the past several years, based on the collective work of numerous experts involved in both practitioner and academic research, dramatic changes have occurred in investment best practices and much progress has been made in our understanding of the key ingredients of a modern, structured, portfolio management process.

In Advanced Bond Portfolio Management, these ingredients that continue to shape the future of the bond portfolio management industry will be reviewed, with a detailed account of new techniques involved in all phases of the bond portfolio management process. This includes coverage of the design of a benchmark, the portfolio construction process, and the analysis of portfolio risk and performance.

Advanced Bond Portfolio Management is composed of six parts: Part One provides general background information on fixed income markets and bond portfolios strategies. Part Two is entirely devoted to the first, and perhaps most important, phase in the bond portfolio management process: the design of a strategy benchmark. The presentation of the toolbox of the modern bond portfolio manager is the subject of Part Three. In particular, this part of the book covers various aspects of fixed income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process.

Part Four focuses on interest rate risk management, arguably the dominant risk factor in any bond portfolio. The main object of attention for all bond portfolio managers is the time-varying shape of the term structure of interest rates. After these analyses of interest rate and credit risk analysis in the context of bond portfolio management, the last part of this book, Part Six, focuses on additional risk factors involved in the management of an international bond portfolio.

Contents:

• Background
• Benchmark Selection and Risk Budgeting
• Fixed Income Modeling
• Interest Rate Risk Management
• Credit Analysis and Credit Risk Management
• International Bond Investing

Advanced Bond Portfolio Management By Frank J. Fabozzi pdf