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.

In order to effectively employ portfolio strategies that cancontrol interest rate risk and/or enhance returns, you mustunderstand the forces that drive bond markets, as well as thevaluation and risk management practices of these complexsecurities. In Advanced Bond Portfolio ManagementFrank Fabozzi, Lionel Martellini, and Philippe Priaulet havebrought together more than thirty experienced bond marketprofessionals to help you do just that.Divided into six comprehensive parts, Advanced BondPortfolio Management will guide you through thestate-of-the-art techniques used in the analysis of bonds and bondportfolio management. Topics covered include:* General background information on fixed-income markets and bondportfolio strategies* The design of a strategy benchmark* Various aspects of fixed-income modeling that will provide keyingredients in the implementation of an efficient portfolio andrisk management process* Interest rate risk and credit risk management* Risk factors involved in the management of an internationalbond portfolioFilled with in-depth insight and expert advice, AdvancedBond Portfolio Management is a valuable resource for anyoneinvolved or interested in this important industry.

Preface ixAbout the Editors xvContributing Authors xviiPART ONE Background 1CHAPTER 1 Overview of Fixed Income Portfolio Management 3Frank J. JonesCHAPTER 2 Liquidity, Trading, and Trading Costs 21Leland E. Crabbe and Frank J. FabozziCHAPTER 3 Portfolio Strategies for Outperforming a Benchmark 43Bülent Baygün and Robert TzuckerPART TWO Benchmark Selection and Risk Budgeting 63CHAPTER 4 The Active Decisions in the Selection of Passive Management and Performance Bogeys 65Chris P. Dialynas and Alfred MurataCHAPTER 5 Liability-Based Benchmarks 97Lev Dynkin, Jay Hyman, and Bruce D. PhelpsCHAPTER 6 Risk Budgeting for Fixed Income Portfolios 111Frederick E. DopfelPART THREE Fixed Income ModelingCHAPTER 7 Understanding the Building Blocks for OAS Models 131Philip O. ObazeeCHAPTER 8 Fixed Income Risk Modeling 163Ludovic Breger and Oren CheyetteCHAPTER 9 Multifactor Risk Models and Their Applications 195Lev Dynkin and Jay HymanPART FOUR Interest Rate Risk Management 247CHAPTER 10 Measuring Plausibility of Hypothetical Interest Rate Shocks 249Bennett W. Golub and Leo M. TilmanCHAPTER 11 Hedging Interest Rate Risk with Term Structure Factor Models 267Lionel Martellini, Philippe Priaulet, Frank J. Fabozzi, and Michael LuoCHAPTER 12 Scenario Simulation Model for Fixed Income Portfolio Risk Management 291Farshid Jamshidian and Yu ZhuPART FIVE Credit Analysis and Credit Risk Management 311CHAPTER 13 Valuing Corporate Credit: Quantitative Approaches versus Fundamental Analysis 313Sivan Mahadevan, Young-Sup Lee, Viktor Hjort, David Schwartz, and Stephen DulakeCHAPTER 14 An Introduction to Credit Risk Models 355Donald R. van DeventerCHAPTER 15 Credit Derivatives and Hedging Credit Risk 373Donald R. van DeventerCHAPTER 16 Implications of Merton Models for Corporate Bond Investors 389Wesley PhoaCHAPTER 17 Capturing the Credit Alpha 407David SoronowPART SIX International Bond Investing 419CHAPTER 18 Global Bond Investing for the 21st Century 421Lee R. ThomasCHAPTER 19 Managing a Multicurrency Bond Portfolio 445Srichander Ramaswamy and Robert ScottCHAPTER 20 A Disciplined Approach to Emerging Markets Debt Investing 479Maria Mednikov Loucks, John A. Penicook, Jr., and Uwe SchillhornINDEX 533