Professional Perspectives on Fixed Income Portfolio Management, Volume 4

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. Filled with insightful articles that focus on three important areas of fixed income portfolio management-fixed income analysis and strategies, credit risk and credit derivatives, and structured products-this volume contains hard-won practical knowledge and theory that will allow you to navigate today's market with poise and confidence.Written by experienced fixed income professionals, this comprehensive volume offers in-depth analysis on a wide range of fixed income portfolio management issues, including:* Risk/return trade-offs on fixed income asset classes* Consistency of carry strategies in Europe* The Euro benchmark yield curve* Quantitative approaches versus fundamental analysis for valuing corporate credit* The implication of Merton models for corporate bond investors* The valuation of credit default swaps* Framework for secondary market collateralized debt obligation valuationFor the financial professional who needs to understand the advanced characteristics of fixed income portfolio management, Professional Perspectives on Fixed Income Portfolio Management, Volume 4 offers the most current thinking from the most experienced professionals in this field. Increase your knowledge of this market and enhance your financial performance for years to come with Professional Perspectives on Fixed Income Portfolio Management, Volume 4.

Preface.Contributing Authors.FIXED INCOME ANALYSIS AND STRATEGIES.Risk/Return Trade-Offs on Fixed Income Asset Classes (LaurentGauthier and Laurie Goodman).Fixed Income Risk Modeling for Portfolio Managers (LudovicBreger).Tracking Error (William Lloyd, Bharath Manium, and MatsGustavsson).Consistency of Carry Strategies in Europe (Antti Ilmanen andRoberto Fumagalli).The Euro Benchmark Yield Curve: Principal Component Analysis ofYield Curve Dynamics (Lionel Martellini, Philippe Priaulet, andStéphane Priaulet).Dollar Rolling?Does It Pay? (Jeffrey Ho and Laurie Goodman).CREDIT RISK AND CREDIT DERIVATIVES.Valuing Corporate Credit: Quantitative Approaches versusFundamental Analysis (Sivan Mahadevan, Young-Sup Lee, DavidSchwartz, Stephen Dulake, and Viktor Hjort).Maturity, Capital Structure, and Credit Risk: ImportantRelationships for Portfolio Managers (Steven I. Dym).A Unified Approach to Interest Rate Risk and Credit Risk of Cashand 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 SubprimeABS 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 Mahadevanand David Schwartz).Understanding Commercial Real Estate CDOs (Brian P.Lancaster).Aircraft Valuation-Based Modeling of Pooled Aircraft ABS (MarkA. Heberle).Index.