Collateralized Debt Obligations, Second Edition provides updated coverage of this exciting and profitable market and describes the various products in the collateral debt obligation area, from cash flow CDOs and market value CDOs to synthetic CDOs.
A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and Analytics provides an up-to-date understanding of the analytic investment process for students and professionals alike.
Investment Management for Insurers details all phases of the investment management process for insurers as well as fixed income instruments and derivatives and state-of-the-art analytical tools for valuing securities and measuring risk. Complete coverage includes: a general overview of issues, fixed income products, valuation, measuring and controlling interest rate risk, and equity portfolio management.
This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework.
Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios.
Introduction to Securitization is intended as an easy-to-comprehend first guide to securitization, addressing applications of this technology to mortgages, collateralized debt obligations, future flows, credit cards, auto loans, etc.
Bayesian Methods in Finance explains and illustrates the foundations of the Bayesian methodology in clear and accessible terms. It provides a unified examination of the use of the Bayesian theory and practice to analyze and evaluate asset management.
In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.
Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives.
Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics.
Real Estate-Backed Securities provides todays most concise yet comprehensive understanding of passive real estate investing. Issues discussed include agency passthrough securities and mortgage strips, agency collateralized mortgage obligations, nonagency residential MBS, commercial mortgage-backed securities, and more.
The fastest growing sector of the fixed income market is the market for collateralized debt obligations (CDOs). Subsequent to the publication of Collateralized Debt Obligations, Second Edition, there have been a number of market developments that the participants in the CDO market need to understand.
An informative guide to selecting and evaluating external investment professionals This book-one of the very few of its kind-is an invaluable aid to trustees of pension plans, endowments, and trusts who seek to chart and navigate courses for governing and overseeing the investment of the trillions of dollars under their care.
Trends come and go, but the shortest path to capital growth is through the fundamental tenets of value. This book applies research and discoveries in finance to time-tested techniques for estimating return based on economic profit and more.
In Bond Portfolio Management, Frank Fabozzi, the leading expert in fixed income securities, explains the latest strategies for maximizing bond portfolio returns. Through in-depth discussions on different types of bonds, valuation principles, and a wide range of strategies, Bond Portfolio Management will prepare you for virtually any bond related event-whether your working on a pension fund or at an insurance company. Key topics include investment objectives of institutional investors, general principles of bond valuation, measuring interest rate risk, and evaluating performance. Bond Portfolio Management is an excellent resource for anyone looking to master one of the world's largest markets, and is a perfect companion to Fabozzi's successful guide-The Handbook of Fixed-Income Securities.
Created by the experienced author team of Frank Fabozzi, Henry Davis, and Moorad Choudhry, Introduction to Structured Finance examines the essential elements of this discipline.
Crucial methods, tactics and tools for successful pension fund managementAchieving Investment Excellence offers trustees and asset managers a comprehensive handbook for improving the quality of their investments. With a stated goal of substantially and sustainably improving annual returns, this book clarifies and demystifies important concepts surrounding trustee duties and responsibilities, investment strategies, analysis, evaluation and much more.Low interest rates are making the high cost of future pension payouts fraught with tension, even as the time and knowledge required to manage these funds appropriately increases -- it is no wonder that pensions are increasingly seen as a financial liability. Now more than ever, it is critical that trustees understand exactly what contributes to investment success -- and what detracts from it. This book details the roles, the tools and the strategies that make pension funds pay off.* Understand the role of pension funds and the fiduciary duty of trustees* Learn the tools and kills you need to build profound and lasting investment excellence* Analyse, diagnose and improve investment quality of funds using concrete tools and instruments* Study illustrative examples that demonstrate critical implementation and execution advicePacked with expert insight, crucial tools and real-life examples, this book is an important resource for those tasked with governing these. Achieving Investment Excellence provides the expert insight, clear guidance and key wisdom you need to manage these funds successfully.
An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance.
Indexing, Structured, and Active Bond Portfolio Management is a new and comprehensive fixed income book focused on the implementation of fixed income strategy. Key analytical concepts are tied to implementation through the use of data services such as Bloomberg.
For the efficient functioning of a capital market it is necessary for market participants to be able to borrow securities and finance the acquisition of securities. The vehicles for doing so include repurchase agreements, securities lending agreements, and derivatives.
Duration, Convexity and other Bond Risk Measures offers the most comprehensive coverage of bond risk measures available. Financial expert Frank Fabozzi walks you through every aspect of bond risk measures from the price volatility characteristics of option-free bonds and bonds with embedded options to the proper method for calculating duration and convexity. Whether you're a novice trader or experienced money manager, if you need to understand the interest rate risk of a portfolio Duration, Convexity and other Bond Risk Measures is the only book you'll need.
A bridge between the highly technical theory of the statistical distribution of asset returns and real-world applications for portfolio and risk management While mainstream theories and concepts assume that asset returns are normally distributed, empirical evidence shows otherwise.
Advanced Fixed Income Analytics helps fixed income professionals stay abreast of the latest developments in the field by providing a practical account of quantitative methods in the fixed income market. Wesley Phoa covers a variety of important topics within the bond markets, including inflationΓÇôindexed bonds, prepayment risk and modeling, term structure models, credit spread and volatility risk, and risk measures and return attribution. The information and guidance of Advanced Fixed Income Analytics has a strong emphasis on empirical analysis and practical applications that will prepare you for anything within the fixed income market.
Many investment books include a chapter or two on investment performance measurement or focus on a single aspect, but only one book addresses the breadth of the field. Investment Performance Measurement is a comprehensive guide that covers the subjects of performance and risk calculation, attribution, presentation, and interpretation.
Managing Credit Risk in Corporate Bond Portfolios discusses discusses how to create a portfolio that will replicate or out-perform a corporate bond benchmark, while assessing the risk of various bonds held in that particular portfolio.
Examining the intricacies of real estate investing, this title offers readers with the necessary tools used by financial professionals to evaluate the opportunities in the growing real estate market.
This innovative collection, written by securitization professionals and edited by finance guru Frank Fabozzi, thoroughly explains the basics and the mechanics of securitization and shows how securitization can help more institutions offer innovative fixed-income products. Further, it discusses the effects of the capital markets on securitization and helps financial professionals decide whether or not to securitize. Filled with strategies and techniques, financial professionals will learn how to use float asset-backed offerings and how to hedge against risk and default.
Active Equity Portfolio Management provides an overview of the philosophies, methodologies, and strategies involved in attempting to beat the market. The book covers a host of relevant topics including equity benchmarks, equity style management, tactical asset allocation, and the use of derivatives to enhance returns. The contributors include top professionals from leading Wall Street firms, as well as top academics.
The Handbook of European Fixed Income Marketspresents extensive and in-depth coverage of every aspect of the European fixed income markets and their derivatives. This book will cover both developed markets such as the UK, France, Germany, Italy, Spain, and Holland, as well as emerging markets in Eastern Europe.
A comprehensive look at how probability and statistics is applied to the investment process Finance has become increasingly more quantitative, drawing on techniques in probability and statistics that many finance practitioners have not had exposure to before.
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