Quantitative management of bond portfolios, Lev Dynkin ... [and others]

Resource Information

The instance Quantitative management of bond portfolios, Lev Dynkin ... [and others] represents a material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.

Image

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Label

Quantitative management of bond portfolios, Lev Dynkin ... [and others]

Link

http://www.loc.gov/catdir/enhancements/fy0654/2006016995-b.html

Statement of responsibility

Lev Dynkin ... [and others]

Instantiates

• Quantitative management of bond portfolios

Publication

• Princeton, Princeton University Press, 2007

Bibliography note

Includes bibliographical references and index

Carrier category

volume

Carrier category code

• nc

Carrier MARC source

rdacarrier.

Content category

text

Content type code

• txt

Content type MARC source

rdacontent.

Contents

• Value of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed-income investing -- Cost of the no-leverage constraint in duration timing : index replication -- Replicating the Lehman Brothers U.S. aggregate index with liquid instruments -- Replicating the Lehman Brothers global aggregate index with liquid instruments -- Tradable proxy portfolios for the Lehman Brothers MBS index -- High-yield index replication -- CMBS index replication : benchmark customization -- Evaluating performance of long-horizon portfolios -- Liability-based benchmarks -- Swap indices -- Benchmarks for asset swapped portfolios -- Issuer-capped and downgrade-tolerant U.S. corporate indices : managing credit portfolios -- Sufficient diversification in credit portfolios -- Return performance of investment-grade bonds after distress -- Optimal credit allocation for buy-and-hold investors -- A
• quick look at index tails -- Are credit markets globally integrated? : managing mortgage portfolios -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons : managing central bank reserves -- Total return management of central bank reserves -- The
• prospects of negative annual total returns in short-duration treasury benchmarks -- Effect of security selection skill on optimal sector allocation -- Risk budget allocation to issuer and sector views -- Multifactor risk modeling and performance attribution -- The
• global risk model : a portfolio manager's guide -- The
• hybrid performance attribution model -- Insights on duration and convexity -- Portfolio yields and durations -- Computing excess return of spread securities -- Currency-hedged returns in fixed-income indices -- The
• bund-treasury trade in portfolios -- Empirical duration of credit securities -- Duration times spread : a new measure of spread risk for credit securities -- Hedging debt with equity
• Value of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed income investing -- Cost of the no-leverage constraint in duration timing : index replication -- Replicating the Lehman Brothers U.S. aggregate index with liquid instruments -- Replicating the Lehman Brothers global aggregate index with liquid instruments -- Tradable proxy portfolios for the Lehman Brothers MBS index -- High-yield index replication -- CMBS index replication : benchmark customization -- Evaluating performance of long-horizon portfolios -- Liability-based benchmarks -- Swap indices -- Benchmarks for asset swapped portfolios -- Issuer-capped and downgrade-tolerant U.S. corporate indices : strategies for managing credit portfolios -- Sufficient diversification in credit portfolios -- Return performance of investment-grade bonds after distress -- Optimal credit allocation for buy-and-hold investors -- A
• quick look at index tails -- Are credit markets globally integrated? : strategies for managing mortgage portfolios -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons : strategies for managing central bank reserves -- Total return management of central bank reserves -- The
• prospects of negative annual total returns in short duration treasury benchmarks -- Effect of security selection skill on optimal sector allocation -- Risk budget allocation to issuer and sector views -- Multi-factor risk modeling and performance attribution -- The
• global risk model : a portfolio manager's guide -- The
• hybrid performance attribution model -- Insights on duration and convexity -- Portfolio yields and durations -- Computing excess return of spread securities -- Currency hedging in fixed income portfolios -- The
• bund-treasury trade in portfolios -- Empirical duration of credit securities -- DTS (duration times spread) : a new measure of spread risk for credit securities -- Hedging debt with equity

Control code

FIEb13436521

Dimensions

25 cm.

Extent

xix, 978 pages

Isbn

9780691128313

Media category

unmediated

Media MARC source

rdamedia.

Media type code

• n

Other physical details

illustrations

Record ID

u231909

System control number

(OCoLC)70060959