Fixed-income portfolio analytics : a practical guide to implementing, monitoring and understanding fixed-Income portfolios

By:

Bolder, David Jamieson

Material type: Text

TextPublication details: New York Springer 2015Description: xxiii, 544 p. 23 cm ; HardISBN:

9783319126661

Subject(s):

Portfolio management Fixed-income securities Portfolio management--Mathematical models Fixed-income securities--Mathematical models Industrial management

DDC classification:

332.6 BOL

Online resources:

Click here to access online

Contents:

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 ..

Summary: 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.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.6 BOL (Browse shelf(Opens below))	Available		B2142

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.

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