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Bond portfolio management / Frank J. Fabozzi.

By:

Fabozzi, Frank J

Material type: Text

TextPublication details: West Sussex, England : Wiley/Frank J. Fabozzi Associates, 2001.Edition: Second editionDescription: iii, 724 pages : illustrations ; 24 cmISBN:

9781883249366 (hbk.)

Subject(s):

Portfolio management -- Bonds

DDC classification:

332.632 FAB

Contents:

1. Introduction -- 2. Investment Objectives of Institutional Investors -- Sect. 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 -- Sect. II. Valuation -- 8. General Principles of Bond Valuation -- 9. Valuation Methodologies -- 10. Valuation of Interest Rate Derivative Instruments -- Sect. III. Measuring Potential Return and Risk Exposure -- 11. Total Return Framework -- 12. Measuring Risk -- 13. Measuring Interest Rate Risk -- 14. Credit Analysis -- Sect. 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 -- App. Tax Considerations.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.632 FAB (Browse shelf(Opens below))	Available		B3024

$ 94.95/-
TB/GST-IN194/01

1. Introduction --
2. Investment Objectives of Institutional Investors --
Sect. 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 --
Sect. II. Valuation --
8. General Principles of Bond Valuation --
9. Valuation Methodologies --
10. Valuation of Interest Rate Derivative Instruments --
Sect. III. Measuring Potential Return and Risk Exposure --
11. Total Return Framework --
12. Measuring Risk --
13. Measuring Interest Rate Risk --
14. Credit Analysis --
Sect. 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 --
App. Tax Considerations.

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