Table of Contents

About the Editors. Preface. SECTION I: GENERAL ISSUES. 1. Risk Management by Insurers: An Analysis of the Process (D. Babbel and A. Saneomero). 2. Components of Insurance Firm Value, and the Present Value of Liabilities (D. Babbel). 3. A Performance Measurement System for Insurers (D. Babbel, et al.). 4. Asset Allocation for Property and Casualty Insurers (B. Tran). SECTION II: FIXED INCOME PRODUCTS. 5. Treasuries, Agency Debentures, Corporates, MTNs, Municipals, and Eurobonds (F. Fabozzi). 6. Mortgage-Backed Securities and Asset-Backed Securities (F. Fabozzi). 7. Interest Rate Derivatives (F. Fabozzi). 8. Credit Derivatives (M. Anson). 9. Catastrophe-Liked Securities (S. Ganapati, et al.). SECTION III: VALUATION. 10. Interest Rate Models (O. Cheyette). 11. The Four Faces of an Interest Rate Model (P. Fitton and J. McNatt). 12. Valuing Path-Dependent Securities: Some Numerical Examples (C. Howard). 13. Problems Encountered in Valuing Interest Rate Derivatives (Y. Pierides). 14. Speeding Up the Valuation Process (F. Albert, et al.). SECTION IV: MEASURING AND CONTROLLING INTEREST RATE RISK. 15. Fixed Income Risk (R. Kahn). 16. Term Structure Factor Models (R. Kuberek). 17. Effective and Ineffective Duration Measures for Life Insurers (D. Babbel). 18. Yield Curve Risk Management (R. Reitano). 19. Hedging Corporate Securities with Treasury and Derivatives Instruments (S. Ramamurthy). 20. Valuation and Portfolio Risk Management with Mortgage-Backed Securities (S. Zenios). 21. Hedging Mortgage Passthrough Securities (K. Dunn and R. Sella). 22. Portfolio Risk Management (H. Fong and O. Vasicek). 23. Measuring and Forecasting Yield Volatility (F. Fabozzi and W. Lee). SECTION V: EQUITY PORTFOLIO MANAGEMENT. 24. Investment Management: An Architecture for the Equity Market (B. Jacobs and K. Levy). 25. Investment Analysis: Profiting from a complex Equity Market (B. Jacobs and K. Levy). 26. The Use of Derivatives in Managing Equity Portfolios (R. Clarke, et al.). Index.

About the Author

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management.