Frank J. Fabozzi & Lionel Martellini 
Advanced Bond Portfolio Management [PDF ebook] 
Best Practices in Modeling and Strategies

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

Frank J. Fabozzi, Ph D, CFA, CPA, is the Frederick Frank Adjunct
Professor of Finance at Yale University’s School of Management and
a Fellow of the International Center for Finance. Prior to joining
the Yale faculty, Fabozzi was a visiting professor of finance in
the Sloan School at MIT. He is the Editor of the Journal of
Portfolio Management.
Lionel Martellini, Ph D, is Professor of Finance at EDHEC
Graduate School of Business in France and the Scientific Director
of EDHEC Risk and Asset Management Research Centre. A former member
of the faculty at the Marshall School of Business, University of
Southern California, he holds Master’s Degrees in Business
Administration, Economics, Statistics, and Mathematics, as well as
a Ph D in Finance from the Haas School of Business, University of
California, Berkeley.
Philippe Priaulet, PHD, is the Head of Global Strategy at
Natexis Banques Populaires. He is also an Associate Professor in
the Department of Mathematics at the Université of Evry Val
d’Essonne. He holds Master’s Degrees in Business Administration and
Mathematics as well as a Ph D in Financial Economics from the
Université Paris IX Dauphine.