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Title
Fixed-income portfolio analytics [electronic resource] : a practical guide to implementing, monitoring and understanding fixed-income portfolios / David Jamieson Bolder.
ISBN
9783319126678 electronic book
3319126679 electronic book
9783319126661
Published
Cham : Springer, [2015]
Copyright
©2015
Language
English
Description
1 online resource.
Item Number
10.1007/978-3-319-12667-8 doi
Call Number
HG4529.5 .B65 2015eb
Dewey Decimal Classification
332.6
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. ℗ℓ ℗ℓ
Bibliography, etc. Note
Includes bibliographical references and indexes.
Access Note
Access limited to authorized users.
Source of Description
Description based on online resource; title from PDF title page (viewed February 9, 2015).
Available in Other Form
Print version: 9783319126661
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.
