EDHEC-Risk - The Handbook of European Fixed Income Securities

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Asset Allocation


	The Handbook of European Fixed Income Securities Authors: Frank J. Fabozzi (Editor), Moorad Choudhry (Editor) Editions: John Wiley & Sons Pages: 1024 pages Date: December 2003 Purchase this book

Summary

The Handbook of European Fixed Income Securities is the first comprehensive guide to the European Fixed Income Markets. With contributions from thirty internationally recognized experts in the field of debt finance and derivatives, it is essential reading for the industry and a reference for practitioners.

The Handbook of European Fixed Income Markets presents extensive and in-depth coverage of every aspect of the European fixed income markets and their derivatives. It covers both developed markets such as the UK, France, Germany, Italy, Spain, and Holland, and emerging markets in Central and Eastern Europe. The text embraces government and corporate bond markets, instruments and institutions.

Edited by Frank J. Fabozzi, the Frederick Frank Adjunct Professor of Finance at Yale School of Management and the world's expert on fixed income securities and Moorad Choudhry, a leading practitioner currently working as a vice-president in Structured Finance Services with JP Morgan Chase in London, the text features contributions from over thirty internationally recognized experts in the field of debt finance and derivatives

EDHEC Business School Professor Lionel Martellini, Philippe Priaulet of HSBC and Stéphane Priaulet of AXA Investment Managers co-authored the chapter on the Empirical Analysis of the Domestic and Euro Yield Curve Dynamics.

The Handbook of European Fixed Income Securities is the first comprehensive guide to this central and diverse capital market. It is essential reading for all investors with an interest in European bond markets, as well as a vital reference work for traders, marketers, and risk managers.

About the Authors

Frank J. Fabozzi, PhD, CFA, CPA is Editor of the Journal of Portfolio Management, and was the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management at the time of writing, and a consultant in the fixed income and derivatives area. Pr. Fabozzi has edited and authored numerous acclaimed books in finance including three with 1985 Nobel prize winner Pr. Franco Modigliani, and one with 1990 Nobel prize recipient Dr. Harry Markowitz. Frank Fabozzi is currently Professor of Finance at EDHEC Business School.

Moorad Choudhry, MBA, is a vice-president in Structured Finance Services with JP Morgan Chase Bank in London. Prior to this he worked as market maker and trader with ABN Amro and Hambros Bank Limited. Mr. Choudhry has lectured on the bond markets at leading business schools. He has published widely in the field of Fixed Income Securities and authored and co-authored reference texts on the topic. He is Editor of the Journal of Bond Trading and Management.

Lionel Martellini, PhD is a Professor of Finance at EDHEC Business School and the scientific director of EDHEC-Risk Institute. He has worked as a consultant in the fields of alternative investment, quantitative finance and derivatives and co-authored books in these areas. Published in leading academic and practitioner journals, he is on the editorial board of the Journal of Alternative Investments and the Journal of Bond Trading and Management.

Philippe Priaulet is a fixed-income strategist in charge of derivatives strategies for HSBC. His expertise is related to fixed-income asset management and derivatives pricing and hedging, and his research has been published in leading academic and practitioners' journals. Formerly, he was head of fixed-income research in the Research and Innovation Department of HSBC-CCF.

Stéphane Priaulet is a senior index portfolio manager in the Structured Asset Management Department at AXA Investment Managers. Previously, he was head of quantitative engineering in the Fixed Income Research Department at AXA Investment Managers. He is on the editorial board of the Journal of Bond Trading and Management, where he has published several research papers.

FTSE EDHEC-Risk Efficient Indexes: December 2011

United States	0.85%
United Kingdom	-0.41%
Eurobloc	0.38%
Developed Europe	-2.23%
Dev. Europe ex. UK	-2.54%
Japan	0.97%
Dev. Asia ex. Jap.	-1.50%
Asia-Pac. ex. Jap.	-0.56%
Asia-Pacific	0.33%
Developed	-0.16%
Emerging	-0.79%
All World ex. US	-1.10%
All World ex. UK	-0.12%
All World	-0.23%

EDHEC-Risk Alternative Indexes: December 2011

Conv. Arb.	0.29%
CTA Global	0.34%
Dist. Sec.	0.50%
Emg. Mkts	-1.81%
Eq. Mkt Neut.	0.06%
Event Driven	-0.34%
Fix. Inc. Arb.	0.45%
Global Macro	-0.22%
L/S Equity	-0.56%
Merger Arb.	0.56%
Rel. Value	0.12%
Short Selling	0.41%
FoF	-0.54%

EDHEC-Risk IEIF Commercial Property: December 2011

Price (FR)	2.11%
Total Return (FR)	2.11%