Managing Fixed Income Portfolios [Hardcover]

A contributed handbook on the complexities of portfolio management that includes the most up-to-date findings from leading practitioners in the fixed income securities market.Preface.

SECTION I: INTEREST RATE RISK MEASURES.

1. Fixed Income Risk (R. Kahn).

2. Measuring and Managing Interest-Rate Risk (S. Richard and B. Gord).

3. Value Measures for Managing Interest-Rate Risk (M. Kreisler and R. Worley).

4. Dissecting Yield Curve Risk (W. Phoa).

5. Bond Convexity: Hidden Risk, Hidden Value (K. Grant).

6. Measuring Plausibility of Hypothetical Interest Rate Shocks (B. Golub and L. Tilman).

7. Valuation and Interest Rate Risk Management Using the Arbitrage-Free Bond Canonical Decomposition Methodology (T. Ho and M. Chen).

SECTION II: GENERATING EXPECTATIONAL INPUTS.

8. Fixed Income Portfolio Investing: The Art of Decision Making (C. Dialynas and E. Rachlin).

9. Forecasting Interest Rates (W. Woolford).

10. A Predictive Modeling Framework for Anticipating Long-Term Interest Rates (G. Boal and E. Plowden).

SECTION III: PORTFOLIO STRATEGIES: ACTIVE AND STRUCTURED.

11. Active Bond Portfolio Management: An Expected Return Approach (F. Trainer, Jr.).

12. Managing Indexed and Enhanced Indexed Bond Portfolios (K. Volpert).

13. Managing a Fixed Income Portfolio Versus a Liability Objective (R. Ryan).

14. Managing Market Risk at Long-Term Investment Funds (L. Gibson, III).

15. Managing Synthetic GIC Portfolios (K. Tourville and J. Caswell).

16. A User's Guide to Buy-Side Bond Trading (R. Gerber).