Search results for ""author frank j fabozzi""

An up-to-date look at the latest innovations in mortgage-backed securities Since the last edition of Mortgage-Backed Securities was published over three years ago, much has changed in the structured credit market. Frank Fabozzi, Anand Bhattacharya, and William Berliner all have many years of experience working in the fixed-income securitization markets, and have witnessed many cycles of change in the mortgage and MBS sectors. And now, with the Second Edition of Mortgage-Backed Securities, they share their knowledge on many of the products and structuring innovations that have taken place since the financial crisis and fiscal reform. Written in a straightforward and accessible style, and containing numerous illustrations, this timely guide skillfully addresses the investment characteristics, creation, and analysis of mortgage-backed securities. Each chapter contains cutting-edge concepts that you'll need to understand in order to thrive within this arena. Discusses the dynamic interaction between the mortgage industry, home prices, and credit performance Addresses revised valuation techniques in which all non-agency MBS must be treated as credit pieces Examines the shift in this marketplace since the crisis and the impact on industry and investors Filled with in-depth insights and expert advice, Mortgage-Backed Securities, Second Edition offers you a realistic assessment of this field and outlines the products, structures, and analytical techniques you need to know about in this evolving arena.

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Real Estate-Backed Securities provides today's 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.

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The fastest growing sector of the asset-backed securities market is the collateralized debt obligation (CDO) market. CDOs are securities backed by a pool of diversified assets and are referred to as collateralized bond obligations (CBOs) when the underlying assets are bonds and as collateralized loan obligations (CLOs) when the underlying assets are bank loans. Investing in Collateralized Debt Obligations covers not only the fundamental features of these securities and the investment characteristics that make them attractive to a broad range of institutional investors, but also the tools for identifying relative value. Nearly a dozen of today's best known analysts discuss emerging market CBOs, relative value frameworks, pricing strategies and techniques, and more.

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Asset-Backed Securities provides comprehensive coverage of the major asset-backed securities, structuring issues, and relative value analysis from the leading experts in the field. Comprehensive coverage includes the expanding frontiers of asset securitization, introduction to ABS accounting, trends in the structuring of ABSs, and prepayment nomenclature in the ABS market.

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A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities Mortgage- and asset-backed securities are not as complex as they might seem. In fact, all of the information, financial models, and software needed to successfully invest in and manage a portfolio of these securities are available to the investment professional through open source software. Investing in Mortgage and Asset-Backed Securities + Website shows you how to achieve this goal. The book draws entirely on publicly available data and open source software to construct a complete analytic framework for investing in these securities. The analytic models used throughout the book either exist in the quantlib library, as an R package, or are programmed in R and incorporated into the analytic framework used. Examines the valuation of fixed-income securities—metrics, valuation framework, and return analysis Covers residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS Discusses prepayment modeling and the valuation of mortgage credit Presents mortgage-backed securities valuation techniques—pass-through valuation and interest rate models Engaging and informative, this book skillfully shows you how to build, rather than buy, models and proprietary analytical platforms that will allow you to invest in mortgage- and asset-backed securities.

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A detailed look at equity valuation and portfolio management Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities. In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity valuation, provide the necessary mathematical background, and discuss classic and new portfolio strategies for investment managers. Divided into two comprehensive parts, this reliable resource focuses on valuation and portfolio strategies related to equities. Discusses both fundamental and new techniques for valuation and strategies Fabozzi and Markowitz are experts in the fields of investment management and economics Includes end of chapter bullet point summaries, key chapter take-aways, and study questions Filled with in-depth insights and practical advice, Equity Valuation and Portfolio Management will put you in a better position to excel at this challenging endeavor.

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A comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change. That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities). Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more Includes updated charts and descriptions using Bloomberg screens Covers important analytical concepts used by portfolio managers Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

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Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.

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A timely guide to today’s high-yield corporate debt markets Leveraged Finance is a comprehensive guide to the instruments and markets that finance much of corporate America. Presented in five sections, this experienced author team covers topics ranging from the basics of bonds and loans to more advanced topics such as valuing CDs, default correlations among CLOs, and hedging strategies across corporate capital structures. Additional topics covered include basic corporate credit, relative value analysis, and various trading strategies used by investors, such as hedging credit risk with the equity derivatives of a different company. Stephen Antczak, Douglas Lucas, and Frank Fabozzi present readers with real-market examples of how investors can identify investment opportunities and how to express their views on the market or specific companies through trading strategies, and examine various underlying assets including loans, corporate bonds, and much more. They also offer readers an overview of synthetic and structured products such as CDS, LCDS, CDX, LCDX, and CLOs. Leveraged Finance has the information you need to succeed in this evolving financial arena.

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Credit Union Investment Management provides an in-depth examination of the methods executives use to achieve investment objectives and maximize returns on invested capital, while measuring and minimizing risk. Complete coverage includes: detailed features of investment vehicles, yield measures and their limitations, total return analysis, and stress testing.

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In Securities Finance, editors Frank Fabozzi and Steven Mann assemble a group of prominent practitioners in the securities finance industry to provide readers with an enhanced understanding of the various arrangements in the securities finance market. Divided into three comprehensive parts—Securities Lending, Bond Financing via the Repo Market, and Equity Financing Alternatives to Securities Lending—this book covers a wide range of securities finance issues, including alternative routes to the securities lending market, evaluating risks in securities lending transactions, U.S. and European repo markets, dollar rolls and their impact on MBS valuation and strategies, derivatives for financing equity positions and equity repos, and more. Filled with in-depth insight and expert advice, Securities Finance contains the information readers need to succeed in this rapidly expanding market.

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An updated guide to the theory and practice of investment management Many books focus on the theory of investment management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in practice while stressing the importance of the portfolio construction process. The Second Edition of The Theory and Practice of Investment Management is the ultimate guide to understanding the various aspects of investment management and investment vehicles. Tying together theoretical advances in investment management with actual practical applications, this book gives you a unique opportunity to use proven investment management techniques to protect and grow a portfolio under many different circumstances. Contains new material on the latest tools and strategies for both equity and fixed income portfolio management Includes key take-aways as well as study questions at the conclusion of each chapter A timely updated guide to an important topic in today's investment world This comprehensive investment management resource combines real-world financial knowledge with investment management theory to provide you with the practical guidance needed to succeed within the investment management arena.

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The fully update Third Edition of the most trusted book on financial statement analysis Recent financial events have taught us to take a more critical look at the financial disclosures provides by companies. In the Third Edition of Analysis of Financial Statements, Pamela Peterson-Drake and Frank Fabozzi once again team up to provide a practical guide to understanding and interpreting financial statements. Written to reflect current market conditions, this reliable resource will help analysts and investors use these disclosures to assess a company's financial health and risks. Throughout Analysis of Financial Statements, Third Edition, the authors demonstrate the nuts and bolts of financial analysis by applying the techniques to actual companies. Along the way, they tackle the changing complexities in the area of financial statement analysis and provide an up-to-date perspective of new acts of legislation and events that have shaped the field. Addresses changes to U.S. and international accounting standards, as well as innovations in the areas of credit risk models and factor models Includes examples, guidance, and an incorporation of information pertaining to recent events in the accounting/analysis community Covers issues of transparency, cash flow, income reporting, and much more Whether evaluating a company's financial information or figuring valuation for M&A's, analyzing financial statements is essential for both professional investors and corporate finance executives. The Third Edition of Analysis of Financial Statements contains valuable insights that can help you excel at this endeavor.

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Frank Fabozzi and Chuck Ramsey update their treatise on nonagency mortgage backed securities in this third edition of The Handbook of Nonagency Mortgage Backed Securities. Focused on an important investing area that continues to grow, this book provides comprehensive coverage of all aspects of this specialized market sector, including the mortgage-related asset-backed securities market and commercial mortgage-backed securities. There is information on raw products, such as jumbo loans, alternative A mortgages, and 125 LTV mortgages, as well as structured products, analytical techniques, prepayment characteristics, and credit issues. This fast-growing segment also includes nonagency pass through, nonagency collateralized mortgage obligations, home loan equity-backed securities, and manufacture housing loan backed securities.

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In order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that. Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include: General background information on fixed-income markets and bond portfolio strategies The design of a strategy benchmark Various aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process Interest rate risk and credit risk management Risk factors involved in the management of an international bond portfolio Filled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.

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A comprehensive guide to financial econometrics 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. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

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A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures Describes applications in finance and extends them where possible Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field Applications include optimal portfolio choice, risk theory, and numerical methods in finance Topics requiring more mathematical rigor and detail are included in technical appendices to chapters

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A comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios. Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained. Written by a solid author team who has extensive financial experience in this area Presents state-of-the art quantitative strategies for managing equity portfolios Focuses on the implementation of quantitative equity asset management Outlines effective analysis, optimization methods, and risk models In today's financial environment, you have to have the skills to analyze, optimize and manage the risk of your quantitative equity investments. This guide offers you the best information available to achieve this goal.

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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. Written over a period spanning the greatest bull market in structured products history to arguably its most challenging period, this reliable resource will help you identify the opportunities and mitigate the risks in this complex financial market.

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Since first edition's publication, the CDO market has seen tremendous growth. As of 2005, $1.1 trillion of CDOs were outstanding -- making them the fastest-growing investment vehicle of the last decade. To help you keep up with this expanding market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you this fully revised and up-to-date new edition of Collateralized Debt Obligations. Written in a clear and accessible style, this valuable resource provides critical information regarding the evolving nature of the CDO market. You'll find in-depth insights gleaned from years of investment and credit experience as well as the examination of a wide range of issues, including cash CDOs, loans and CLOs, structured finance CDOs and collateral review, emerging market and market value CDOs, and synthetic CDOs. Use this book as your guide and take advantage of this dynamic market and its products.

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This must-have reference covers all of the major areas of cost accounting and analysis including product costing, relevant costs, cost-volume analysis, performance evaluation, transfer pricing, and capital budgeting. Includes methods of reorganizing, classifying, allocating, aggregating, and reporting actual costs and comparing them with standard costs. Equips experienced cost accountants with a reference tool and students with a thorough textbook. Provides numerous examples, succinct language, chapter review, glossary, and appendices. Includes an abundance of exercises, many of which are based on exam questions from the CPA and CMA exams.

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The mathematical and statistical tools needed in the rapidly growing quantitative finance field With the rapid growth in quantitative finance, practitioners must achieve a high level of proficiency in math and statistics. Mathematical Methods and Statistical Tools for Finance, part of the Frank J. Fabozzi Series, has been created with this in mind. Designed to provide the tools needed to apply finance theory to real world financial markets, this book offers a wealth of insights and guidance in practical applications. It contains applications that are broader in scope from what is covered in a typical book on mathematical techniques. Most books focus almost exclusively on derivatives pricing, the applications in this book cover not only derivatives and asset pricing but also risk management—including credit risk management—and portfolio management. Includes an overview of the essential math and statistical skills required to succeed in quantitative finance Offers the basic mathematical concepts that apply to the field of quantitative finance, from sets and distances to functions and variables The book also includes information on calculus, matrix algebra, differential equations, stochastic integrals, and much more Written by Sergio Focardi, one of the world's leading authors in high-level finance Drawing on the author's perspectives as a practitioner and academic, each chapter of this book offers a solid foundation in the mathematical tools and techniques need to succeed in today's dynamic world of finance.

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A comprehensive volume that covers a complete array of traditional and alternative investment vehicles This practical guide provides a comprehensive overview of traditional and alternative investment vehicles for professional and individual investors hoping to gain a deeper understanding of the benefits and pitfalls of using these products. In it, expert authors Mark Anson, Frank Fabozzi, and Frank Jones clearly present the major principles and methods of investing and their risks and rewards. Along the way, they focus on providing you with the information needed to successfully invest using a host of different methods depending upon your needs and goals. Topics include equities, all types of fixed income securities, investment-oriented insurance products, mutual funds, closed-end funds, investment companies, exchange-traded funds, futures, options, hedge funds, private equity, and real estate Written by the expert author team of Mark Anson, Frank Fabozzi, and Frank Jones Includes valuable insights for everyone from finance professionals to individual investors Many finance books offer collections of expertise on one or two areas of finance, but The Handbook of Traditional and Alternative Investment Vehicles brings all of these topics together in one comprehensive volume.

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