Bond Portfolio Management

Valuation of Fixed Income Securities and Derivatives

Corporate Bonds: Structures & Analysis

Collateralized Mortgage Obligations: Structures & Analysis

Measuring and Controlling Interest Rate Risk

Asset-Backed Securities

CMO Portfolio Management

The Handbook of Commercial Mortgage-Backed Securities

Dictionary of Financial Risk Management

Valuation of Interest-Sensitive Financial Instruments

The Handbook of Equity Style Management

Whole-Loan CMOs

Modeling the Market: New Theories and Techniques

- Investment Objectives of Institutional Investors
- Description of Fixed Income Products
- Valuation Principles and State-of-the-Valuation Modeling
- Total Return Analysis
- Active and Structured Portfolio Strategies
- Strategies with Derivatives

Table of Contents:

- 1. Introduction
- 2. Investment Objectives of Institutional Investors
- SECTION I: The Instruments
- 3. Bonds
- 4. Mortgage-Backed Securities and Asset-Backed Securities
- 5. Interest Rate Derivative Instruments
- SECTION II: Valuation
- 6. General Principles of Bond Valuation
- 7. Valuation Methodologies
- 8. Valuation of Derivative Instruments
- SECTION III: Portfolio Strategies
- 9. Tax Considerations
- 10. Total Return Framework
- 11. Measuring Interest Rate Risk
- 12. Historical Return Performance and Bond Indexes
- 13. Active Strategies
- 14. Structured Portfolio Strategies
- 15. Strategies with Futures and Swaps
- 16. Strategies with Options, Caps, and Floors
- 17. Investing in Non-U.S. Bonds
- 18. Measuring and Evaluating Performance
- Questions

- Fundamental Valuation Principles
- Spot Rates and Forward Rates
- Role of Valuation in Measuring Interest Rate Risk
- Binomial Method and Monte Carlo Method
- Valuation of Inverse Floaters
- Valuation of Convertible Securities
- Valuation of Interest Rate Futures, Options, and Swaps

Table of Contents:

- 1. Fundamental Valuation Principles
- 2. Spot Rates and Their Role in Valuation
- 3. Forward Rates and Term Structure Theories
- 4. Measuring Price Sensitivity to Interest Rate Changes
- 5. Overview of the Valuation of Bonds with Embedded Options
- 6. Binomial Method
- 7. Monte Carlo Method
- 8. Valuation of Inverse Floaters
- 9. Valuation of Convertible Securities
- 10. Valuation of Interest Rate Futures
- 11. Valuation of Interest Rate Options
- 12. Valuation of Interest Rate Swaps

- Bond Indentures and Debt Retirement
- Convertible Bonds
- Speculative-Grade Bonds
- Corporate Debt Ratings
- Principles of Valuing Corporate Bonds and the Binomial Model
- Managing Corporate Bond Portfolios

Table of Contents:

- Section I
- 1. Overview of U.S. Corporate Bonds
- 2. Bond Indentures
- 3. Maturity
- 4. Interest Payments
- 5. Debt Retirement
- 6. Convertible Bonds
- 7. Speculative-Grade Bonds
- 8. Corporate Debt Ratings
- Section II
- 9. Bond Pricing and Yield Measures
- 10. Principles of Valuing Corporate Bonds
- 11. Valuing Callable Corporate Bonds
- 12. Valuation of Convertible Bonds
- 13. Managing Corporate Bond Portfolios

- Prepayment Conventions and Factors Affecting Prepayments
- Whole-Loan CMOs
- Total Return Analysis
- Accounting and Regulatory Issues

Table of Contents:

- SECTION I: BACKGROUND
- 1. Introduction
- 2. Collateral for CMOs
- 3. Prepayment Conventions and Factors Affecting
- Prepayment Behavior
- SECTION II: CMO STRUCTURES
- 4. Sequential-Pay CMOs
- 5. Floater, Inverse Floater, PO and IO Bond Classes
- 6. Planned Amortization Class Bonds
- 7. TAC Bonds, VADM Bonds, and Support Bonds
- 8. Whole-Loan CMO Structures
- SECTION III: ANALYSIS OF CMOs
- 9. Static Cash Flow Yield Analysis
- 10. Option-Adjusted Spread Analysis
- 11. Total Return Framework
- 12. Analysis of Inverse Floaters
- SECTION IV: ACCOUNTING AND REGULATORY CONSIDERATIONS
- 13. Accounting for CMO Investments
- 14. Regulatory Considerations

- Measuring Interest Rate Risk: Level Risk and Yield Curve Risk
- Value-at-Risk Framework
- Estimating Yield Volatility
- Using Derivative Instruments to Control Interest Rate Risk

Table of Contents:

- 1. Overview of Measurement and Control of Interest Rate Risk
- 2. Valuation
- 3. Measuring Level Risk: Duration and Convexity
- 4. Measuring Yield Curve Risk
- 5. Probability Distributions and Their Properties
- 6. Measuring and Forecasting Yield Volatility from Historical Data
- 7. Correlation Analysis and Regression Analysis
- 8. Futures and Forward Contracts
- 9. Swaps
- 10. Exchange-Traded Options
- 11. OTC Options and Related Products
- 12. Controlling Interest Rate Risk with Derivatives
- 13. Controlling Interest Rate Risk in an MBS Derivative Portfolio

Table of Contents:

- Part I: General
- 1. The Expanding Frontiers of Asset Securitization, Anand K. Bhattacharya and Frank J. Fabozzi
- 2. Securitization in Europe, Paul Taylor
- Part II: Product Areas
- 3. Credit-Card Receivables, Robert Karr, Greg Richter, R.J. Shook, and Lirenn Tsai
- 4. Collateralized Automobile Loans, Thomas Zimmerman
- 5. Manufactured Housing Securities, Thomas Zimmerman and Inna Koren
- 6. Analysis of Manufactured Housing-Backed Securities, John N. Dunlevy and Andrew Shook
- 7. Overview of the B&C Home-Equity Loan Market, Len Blum
- 8. Evolution of the B&C Home-Equity Loan Securities Market, Henry C. McCall III and Len Blum
- 9. Equipment-Lease Backed Securities, John Lucas and Thomas Zimmerman
- 10. SBA Loan-Backed Securities, Donna Faulk
- 11. The Securitization of Health-Care Receivables, Vincent Pica and Anand Bhattacharya
- 12. The Commercial Property Market and Underwriting Criteria for Commercial Mortgages, Jonathan Adams
- 13. CMBS Structures and Relative Value Analysis, Jonathan Adams
- 14. Investing in Interest-Only Commercial Mortgage-Backed Securities, Jonathan Adams, Inna Koren, and Lina Hsu
- Part III: Structuring Considerations
- 15. Trends in the Structuring of ABSs, Len Blum
- 16. Evaluating Credit Risk of Asset-Backed Securities, Suzanne Michaud
- 17. Credit Enhancement in ABS Structures, Lina Hsu and Cyrus Mohebbi
- 18. Early Amortization Triggers, Anand Bhattacharya
- 19. Home-Equity Loan Floaters, Mike Morrissey, Lirenn Tsai, and Cyrus Mohebbi
- 20. Dynamics of Cleanup Calls in ABS, Michael Morrissey and Thomas Zimmerman
- 21. ABS Pieces, Thomas Zimmerman
- PART IV: Relative Value Considerations
- 22. Prepayment Nomenclature in the ABS Market, Anand Bhattacharya and Charles Huang
- 23. Prepayments on ABSs, Charles Huang
- 24. Z-Spreads, Anand Bhattacharya and Carol Sze
- Part V: Tax and Accounting Considerations
- 25. Accounting and Tax Issues, Len Blum
- 26 Tax Considerations, Thomas Lyden, KPMG

Table of Contents:

- 1. Overview of Book Frank J. Fabozzi
- 2. The Challenges of CMO Portfolio Management Scott M. Amero
- Section I: Collateral, Structure, and Prepayment Analyses
- 3. CMO Collateral Analysis David T. Yuen, T. Anthony Coffey, Roger A. Bayston, and Shannon R. Owens
- 4. CMO Structure Analysis David T. Yuen, T. Anthony Coffey, Roger A. Bayston, and Shannon R. Owens
- 5. New Challenges in MBS Prepayment Simulation: Issues and Methods James Gerard
- Section II: Valuation
- 6. Valuation of CMOs Frank J. Fabozzi and Scott Richard
- 7. Rule Based Analysis of CMO Securities and Its Application H. Gifford Fong
- 8. Advanced Techniques for the Valuation of CMOs Deepak Gulrajani, Michael Roginsky, and Ronald Kahn
- 9. Forward Rates and CMO Portfolio Management Clifford Scott Asness and Jonathan Andrew Beinner
- Section III: Analysis of Specific Products
- 10. Valuation of PAC Bonds without Complex Models Cliff Asness and Michael Smirlock
- 11. A Portfolio Manager's Perspective of Inverses and Inverse IOs William R. Leach
- 12. Investment Opportunities in Mortgage Residuals Shaiy Pilpel
- Section IV: Portfolio Strategies and Risk Control
- 13. Total Return Analysis in CMO Portfolio Management David E. Canuel and Charles F. Melchreit
- 14. Market Neutral Trading Strategies George Hall
- 15. Yield Curve Risk of CMO Bonds Michael Schumacher, Dan Decktar and Frank J. Fabozzi

Table of Contents:

- 1. A Property Market Framework for Bond Investors Patrick Corcoran
- 2. The Commercial Mortgage Market Galia Gichon
- 3. Commercial Mortgage Prepayments Jesse M. Abraham and E. Scott Theobald
- 4. The Commercial Mortgage-Backed Securities Market Alice Lustig
- 5. The Role of the Servicer Galia Gichon
- 6. Structural Consideration Impacting CMBS John Dunlevy
- 7. The Effects of Prepayment Restrictions on the Bond Structures of CMBS Manus J. Clancy and Michael Constantino, III
- 8. An Investor's Perspective on Commercial Mortgage-Backed Coupon Strips Keith Gollenberg
- 9. How CMBS Structuring Impacts the Performance of the Bond Classes David P. Jacob and Lynn Tong
- 10. Rating of Commercial Mortgage-Backed Securities Joseph Franzetti
- 11. Defaults on Commercial Mortgages Janet Price and J. Zachary Monsma
- 12. Assessing Credit Risk of CMBS Patrick Corcoran and Tony Kao
- 13. A Framework for Risk and Relative Value Analysis of CMBS: Theory David P. Jacob, Galia Gichon, Dan Lee, and Lynn Tong
- 14. A Framework for Risk and Relative Value Analysis of CMBS: Practice David P. Jacob and Galia Gichon
- 15. Investing in Subordinate CMBS Bonds Jojy Vanisa Mathew and Elazar Katz
- 16. High Yield CMBS David P. Jacob and Galia Gichon
- 17. An Option-Based Approach to Valuing Default and Prepayment Risk in CMBS David P. Jacob, Ted Hong, and Laurence Lee
- 18. Performing Financial Due Diligence Associated with Commercial Mortgage Securitizations David Baranick and Shahid Quraishi
- 19. Legal Perspectives on Disclosure Issues for CMBS Investors Michael Pfeifer
- 20. Evolving Generally Accepted Accounting Principles for Issuers of and Investors in CMBS David Baranick and Israel Snow
- 21. Federal Income Taxation of REMICs and CMBS John Alexander, Joseph L. Ferst, and Gregory S. McCauley

Table of Contents:

Preface

- The Essentials of Financial Risk Management
- Description of Financial Risk Management Terms

Table of Contents:

- 1. Spot Rates, Forward Interest Rates, Short Rates, and Yield to Maturity
- 2. An Introduction to Valuation of Fixed-Interest-Sensitive Cash Flows
- 3. Discrete-Time One-Factor Models
- 4. Continuous-Time One Factor Models
- 5. Solution Approaches to Single-Factor Models
- 6. Multi-Factor Continuous-Time Models
- 7. Multi-Factor Discrete-Time Models
- 8. Simulation Approaches

Table of Contents:

- 1. Equity Style: What it is and Why it Matters, Jon A. Christopherson and C. Nola Williams
- 2. Understanding the Differences and Similarities of Equity Style Indexes, Melissa R. Brown and Claudia E. Mott
- 3. Return-Based Style Analysis, Steve Hardy
- 4. Equity Style Classification System , Jon A. Christopherson and DennisTrittin
- 5. Style Return Differentials: Illusions, Risk Premiums, or Investment Opportunities? Richard Roll
- 6. Tactical Style Management, John L. Dorian and Robert D. Arnott
- 7. Value-Growth Beta, Keith Quinton
- 8. The Role of Completion Funds in Equity Style Management, Christopher J. Campisano and Maarten L. Nederlof
- 9. Implications of Style in Foreign Stock Investing, Paul Bagnoli
- 10. Evolutionary Ideas in International Style Management, David J. Leinweber, David Krider, and Peter Swank
- 11. Equity Style Benchmarks for Fund Analysis, Mary Ida Compton
- 12. Style Management: The Essence of Control, Garry M. Allen
- 13. Measuring and Monitoring Equity Investment Style: Is it Worth the Effort, Charles Trzcinka

- Whole-Loan CMO Structures
- Default Experience and Credit Ratings
- Prepayment Analysis
- Commercial Mortgage-Backed Securities

Table of Contents:

- SECTION I: INTRODUCTION TO THE WHOLE-LOAN CMO MARKET
- 1. The Whole Loan Mortgage Market: Background and Overview David Sykes and Cathy Smiley
- SECTION II: WHOLE-LOAN CMO STRUCTURES
- 2. Structural Nuances in Non-Agency Mortgage-Backed Securities PeterRubinstein
- 3. Fundamental Differences Between Agency and Non-AGency Mortgage Backed Securities Clifford Scott Asness
- 4. Whole-Loan CMO Modeling Systems Jojy Vaniss Mathew
- SECTION III: CREDIT ANALYSIS
- 5. Default and Loss Experience of Whole Loan CMOs Thomas G. Gillis
- 6. The Rating Agencies' Approach: New Evidence Douglas L. Bendt, Chuck Ramsey, and Frank J. Fabozzi
- 7. The Rating of Securities Backed by B and C Mortgages Andrew B. Jones
- 8. A Credit-Intensive Approach to Analyzing the Subordinate Classes of Whole-Loan CMOs Edward L. Toy
- 9. Evaluating Subordinate Mortgage-Backed Securities Mary Sue Lundy
- 10. Evaulating Residential Subordinated Tranches John Dunlvey
- 11. Using Subordinate Mortgage-Backed Securities to Enhance Portfolio Returns Eva A. Zeff and Richard M. Lerner
- SECTION IV: PREPAYMENT ANALYSIS
- 12. Prepayment Analysis for Non-Agency Mortgage-Backed Securities Douglas L. Bendt, Chuck Ramsey, and Frank J. Fabozzi
- 13. The Volatility of Prepayments on Non-Conforming Mortgages Sean Becketti, Richard Ellson, Evan Firestone, and Karen Auld Wagner
- SECTION V: COMMERCIAL MBS
- 14. Commercial Mortgage-Backed Securities David Jacob and Kimbell R. Duncan
- 15. Commercial Mortgage-Backed Securities Portfolio Management Mark Warner

Table of Contents:

- Part I: Concepts and Methods
- 1. Basic Concepts
- 2. Modeling Under Equilibrium
- 3. Technological Developments in the Classical Framework
- 4. Models of Non-Equilibrium Markets and Non-Linear Methods
- Part II: Implementation
- 5. Investment Management
- 6. Trading
- 7. Risk Assessment
- 8. The Outlook for Adaptive Methods in Finance
- Part III: Issues and the Market
- 9. Structures and Dynamics of the Market
- 10. Technology Issues
- 11. Management Issues
- 12. Future Scenarios
- Part IV: The Mathematics of Uncertainty and Learning
- 13. Uncertainty and Its Mathematical Handling
- 14. The Representation of Security Markets
- 15. The Representation of Market Constraints and Asset Pricing
- 16. At the Frontier of Research
- 17. Adaptive Computational Methods

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