Fixed-Income Portfolio Analytics: A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios
Author:   David Jamieson Bolder
Publisher:   Springer International Publishing AG
Edition:   Softcover reprint of the original 1st ed. 2015
ISBN:  

9783319365442


Pages:   544
Publication Date:   08 October 2016
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Fixed-Income Portfolio Analytics: A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios


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Overview

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.

Full Product Details

Author:   David Jamieson Bolder
Publisher:   Springer International Publishing AG
Imprint:   Springer International Publishing AG
Edition:   Softcover reprint of the original 1st ed. 2015
Dimensions:   Width: 15.50cm , Height: 2.90cm , Length: 23.50cm
Weight:   1.162kg
ISBN:  

9783319365442


ISBN 10:   3319365444
Pages:   544
Publication Date:   08 October 2016
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

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.

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