The Handbook of European Fixed Income Securities,9780471649519

The Handbook of European Fixed Income Securities

by ; ; ;
ISBN13: 9780471649519
ISBN10: 0471649511
Format: eBook
Pub. Date: 2004-02-01
Publisher(s): Wiley
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Summary

Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finances services in London.

Table of Contents

PREFACE.
ABOUT THE EDITORS.
CONTRIBUTING AUTHORS.
SECTION ONE: Background.
CHAPTER 1: Introduction to European Fixed Income Securities and Markets (Moorad Choudhry, Frank J. Fabozzi, and Steven V. Mann).
CHAPTER 2: Bondholder Value versus Shareholder Value (Claus Huber).
CHAPTER 3: Bond Pricing and Yield Measures (Frank J. Fabozzi and Steven V. Mann).
CHAPTER 4: Measuring Interest Rate Risk (Frank J. Fabozzi and Steven V. Mann).
SECTION TWO: Products.
CHAPTER 5: The Euro Government Bond Market (Antonio Villarroya).
CHAPTER 6: The Eurobond Market (David Munves).
CHAPTER 7: The German Pfandbrief and European Covered Bonds Market (Graham “Harry” Cross).
CHAPTER 8: European Inflation-Linked Bonds (Barclays Capital Inflation-Linked Research Team).
CHAPTER 9: The United Kingdom Gilts Market (Moorad Choudhry).
CHAPTER 10: The European Repo Market (Moorad Choudhry).
CHAPTER 11: European Residential Mortgage-Backed Securities (Phil Adams).
CHAPTER 12: European Commercial Mortgage-Backed Securities (Phil Adams).
CHAPTER 13: European Credit Card ABS (Markus Niemeier).
CHAPTER 14: European Auto and Consumer Loan ABS (Markus Niemeier).
CHAPTER 15: Structured Credit: Cash Flow and Synthetic CDOs (Oldrich Masek and Moorad Choudhry).
SECTION THREE: Interest Rate and Credit Derivatives.
CHAPTER 16: European Interest Rate Futures: Instruments and Applications (Brian A. Eales).
CHAPTER 17: Interest Rate Options (Lawrence Galitz).
CHAPTER 18: Pricing Options on Interest Rate Instruments (Brian A. Eales and Radu Tunaru).
CHAPTER 19: Interest Rate Swaps (Frank J. Fabozzi and Steven V. Mann).
CHAPTER 20: A Practical Guide to Swap Curve Construction (Uri Ron).
CHAPTER 21: Credit Derivatives (Richard Pereira, Rod Pienaar, and Moorad Choudhry).
CHAPTER 22: The Pricing of Credit Default Swaps and Synthetic Collateralized Debt Obligations (Greg Gentile, David Jefferds, and Warren Saft).
SECTION FOUR: Portfolio Management.
CHAPTER 23: Fixed Income Risk Modeling for Portfolio Managers (Ludovic Breger).
CHAPTER 24: An Empirical Analysis of the Domestic and Euro Yield Curve Dynamics (Lionel Martellini, Philippe Priaulet, and Stéphane Priaulet).
CHAPTER 25: Tracking Error (William Lloyd, Bharath K. Manium, and Mats Gustavsson).
CHAPTER 26: Portfolio Strategies for Outperforming a Benchmark (William T. Lloyd and Bharath K. Manium).
CHAPTER 27: Credit in Bond Portfolios (Claus Huber and Helmut Kaiser).
CHAPTER 28: Default and Recovery Rates in the Emerging European High-Yield Market (Mariarosa Verde
CHAPTER 29: Analysis and Evaluation of Corporate Bonds (Christoph Klein).
SECTION FIVE: Legal Considerations.
CHAPTER 30: Legal and Documentation Issues on Bonds Issuances (Lourdes Villar-Garcia and Trusha Patel).
CHAPTER 31: Trust and Agency Services in the Debt Capital Markets (Nick Procter and Edmond Leedham).
INDEX.

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