Fixed-Income Portfolio Analytics
A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios
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Beschreibung
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.
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.
Provides a common and consistent framework for performance and risk analytics Full of practical examples - over 160 figures and almost 100 tables - to support complex ideas Shows not only how to measure and attribute performance and risk, but also how to test their consistency Includes supplementary material: sn.pub/extras
Autor*in
David Jamieson Bolder
Themen in »Fixed-Income Portfolio Analytics«
Fixed Income Performance Attribution Portfolio Analytics Risk Attribution Risk Measurement Yield Curve quantitative finance household finance