Portfolio managers in today’s turbulent market must weigh in a variety of investment vehicles for strong growth. Insurers are no exception as thely deal with issues specific to their field, such as catastrophe-linked securities and duration of measures for life insurers. This comprehensive volume covers all phases of the investment management process for insurers. In addition, there is detailed coverage of fixed income instruments and derivatives, and the state-of-the-art analytical tools for valuing securities and measuring risk. The contributed book, written by an esteemed panel of experts, is divided into four sections: I. General Issues. II. Fixed Income Products. III. Valuation. IV. Measuring and Controlling Interest Rate Risk. V: Equity Portfolio Management.
Book Details:
- Author: David F. Babbel
- ISBN: 9781883249472
- Year Published: 1999
- Pages: 570
- BISAC: BUS036000, BUSINESS & ECONOMICS/Investments & Securities / General
About the Book and Topic:
Portfolio managers in today’s turbulent market must weigh in a variety of investment vehicles for strong growth. Insurers are no exception as thely deal with issues specific to their field, such as catastrophe-linked securities and duration of measures for life insurers. This comprehensive volume covers all phases of the investment management process for insurers. In addition, there is detailed coverage of fixed income instruments and derivatives, and the state-of-the-art analytical tools for valuing securities and measuring risk. The contributed book, written by an esteemed panel of experts, is divided into four sections: I. General Issues. II. Fixed Income Products. III. Valuation. IV. Measuring and Controlling Interest Rate Risk. V: Equity Portfolio Management.
1. Risk Management by Insurers: An Analysis of the Process (David Babbel and Anthony Santomero) 2. Components of the Market Value of Insurer Stock and the Present Value of Liabilities (David Babbel) 3. Financial Performance Measurement for Insurers (David Babbel, Robert Stricker, and Irwin Vanderhoof) 4. Asset Allocation for Property and Casualty Insurers (Brent Tran) 5. Treasury Securities, Agency Debentures, Municipals, and Corporates (Frank Fabozzi) 6. Structured Finance Products (Frank Fabozzi) 7. Interest Rate Derivative Instruments (Frank Fabozzi) 8. Credit Derivatives (Mark Anson) 9. Catastrophe-Linked Securities (Sunita Ganapati, Mark Retik, Paul Puleo, and Beth Starr) 10. Interest Rate Models (Oren Cheyette) 11. The Four Faces of an Interest Rate Model (Peter Fitton and James McNatt) 12. Valuing Path-Dependent Securities ( Douglas Howard) 13. Problems Encountered in Valuing Interest Rate Derivatives (Yiannos Pierides) 14. Speeding Up the Valuation Process (Faye Albert, Graham Lord, and Irwin Vanderhoof) 15. Fixed Income Risk (Ronald Kahn) 16. Term Structure Factor Models (Robert Kubrek) 17. Effective and Ineffective Duration of Measures for Life Insurers (David Babbel) 18. Yield Curve Risk Management (Robert Reitano) 19. Hedging Corporate Securities with Treasury and Derivative Instruments (Shrikant Ramamurthy) 20. Valuation and Portfolio Risk Managment with Mortgage-Backed Securities (Stavros Zenios) 21. Hedging Mortgage Passthrough Securities (Kenneth Dunn and Roberto Sella) 22. Portfolio Risk Management (Gifford Fong and Oldrich Vasicek) 23. Measuring and Forecasting Interest Rate Volatility (Frank Fabozzi Wai Lee) 24. Investment Management: An Architecture for the Equity Market (Bruce Jacobs and Kenneth Levy) 25. Investment Mangement: Profiting from a Complex Equity Market (Bruce Jacobs and Kenneth Levy) 26. The Use of Derivatives in Managing Equity Portfolios (Roger Clarke, Harindra de Silva, and Greg McMurran)
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.