Fixed-Income Portfolio Analytics - A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios

The book offers a detailed, robust, and consistent framework for the joint consideration of portfolio exposure, risk, and performance across a wide range of underlying fixed-income instruments and risk factors. Through extensive use of practical examples, the author also highlights the necessary technical tools and the common pitfalls that arise when working in this area. Finally, the book discusses tools for testing the reasonableness of the key analytics to help build and maintain confidence for using these techniques in day-to-day decision making. This will be of keen interest to risk managers, analysts and asset managers responsible for fixed-income portfolios.

Table des matières

What Is Portfolio Analytics?- From Risk Factors to Returns: Computing Exposures.- A Useful Approximation.- Extending Our Framework.- The Yield Curve: Fitting Yield Curves.- Modelling Yield Curves.- Performance: Basic Performance Attribution.- Advanced Performance Attribution.- Traditional Performance Attribution.- Risk: Introducing Risk.- Portfolio Risk.- Exploring Uncertainty in Risk Measurement.- Risk and Performance: Combining Risk and Return.- The Ex-Post World.- Appendix: Some Mathematical Background.- A Few Thoughts on Optimization.- Index.

Résumé

The book offers a detailed, robust, and consistent framework for the joint consideration of portfolio exposure, risk, and performance across a wide range of underlying fixed-income instruments and risk factors. Through extensive use of practical examples, the author also highlights the necessary technical tools and the common pitfalls that arise when working in this area. Finally, the book discusses tools for testing the reasonableness of the key analytics to help build and maintain confidence for using these techniques in day-to-day decision making. This will be of keen interest to risk managers, analysts and asset managers responsible for fixed-income portfolios.

Détails du produit

• Auteurs: David Jamieson Bolder
• Edition: Springer, Berlin
• Langues: Anglais
• Format d'édition: Livre de poche
• Sortie: 01.01.2016
• EAN: 9783319365442
• ISBN: 978-3-31-936544-2
• Pages: 544
• Dimensions: 155 mm x 29 mm x 237 mm
• Poids: 890 g
• Illustrations: XXVII, 544 p. 170 illus., 15 illus. in color.
• Catégories: Sciences sociales, droit, économie > Economie > Economie publique; Management, B, Personal finance, Finance, Pension plans, Finance, general, Economics and Finance, Management & management techniques, Applications of Mathematics, Finance & accounting, Economics, Mathematical, Quantitative Finance, Personal Finance, Wealth Management, Pension Planning, Personal Finance/Wealth Management/Pension Planning