Fixed-income portfolio analytics : a practical guide to implementing, monitoring and understanding fixed-Income portfolios
Bolder, David Jamieson
Fixed-income portfolio analytics : a practical guide to implementing, monitoring and understanding fixed-Income portfolios - New York Springer 2015 - xxiii, 544 p. 23 cm ; Hard
Alpha
1 What Is Portfolio Analytics?
Part I From Risk Factors to Returns
2 Computing Exposures.
3 A Useful Approximation ..
4 Extending Our Framework
Part II The Yield Curve
5 Fitting Yield Curves
6 Modelling Yield Curves .
Part III Performance
7 Basic Performance Attribution
8 Advanced Performance Attribution
9 Traditional Performance Attribution
Part IV Risk
10 Introducing Risk
11 Portfolio Risk.
12 Exploring Uncertainty in Risk Measurement .
Part V Risk and Performance
13 Combining Risk and Return
14 The Ex-Post World ..
A Some Mathematical Background
B a Few Thoughts on Optimization
Index ..
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.
9783319126661
Portfolio management
Fixed-income securities
Portfolio management--Mathematical models
Fixed-income securities--Mathematical models
Industrial management
332.6 BOL
Fixed-income portfolio analytics : a practical guide to implementing, monitoring and understanding fixed-Income portfolios - New York Springer 2015 - xxiii, 544 p. 23 cm ; Hard
Alpha
1 What Is Portfolio Analytics?
Part I From Risk Factors to Returns
2 Computing Exposures.
3 A Useful Approximation ..
4 Extending Our Framework
Part II The Yield Curve
5 Fitting Yield Curves
6 Modelling Yield Curves .
Part III Performance
7 Basic Performance Attribution
8 Advanced Performance Attribution
9 Traditional Performance Attribution
Part IV Risk
10 Introducing Risk
11 Portfolio Risk.
12 Exploring Uncertainty in Risk Measurement .
Part V Risk and Performance
13 Combining Risk and Return
14 The Ex-Post World ..
A Some Mathematical Background
B a Few Thoughts on Optimization
Index ..
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.
9783319126661
Portfolio management
Fixed-income securities
Portfolio management--Mathematical models
Fixed-income securities--Mathematical models
Industrial management
332.6 BOL