Modern multi-factor analysis of bond portfolios : critical implications for hedging and investing / edited by Giovanni Barone Adesi, Professor, Università della Svizzera Italiana, Switzerland, and Nicola Carcano, Lecturer, Faculty of Economics, Università della Svizzera Italiana, Switzerland.
2016
HG4651 .M5963 2016eb
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Title
Modern multi-factor analysis of bond portfolios : critical implications for hedging and investing / edited by Giovanni Barone Adesi, Professor, Università della Svizzera Italiana, Switzerland, and Nicola Carcano, Lecturer, Faculty of Economics, Università della Svizzera Italiana, Switzerland.
ISBN
9781137564863 (electronic book)
1137564865 (electronic book)
9781349850242
9781137564856
1137564857
1137564865 (electronic book)
9781349850242
9781137564856
1137564857
Published
Basingstoke, Hampshire : Palgrave Macmillan, 2016.
Language
English
Description
1 online resource (xi, 124 pages) : illustrations.
Call Number
HG4651 .M5963 2016eb
Dewey Decimal Classification
332.63/23015195
Summary
Where institutions and individuals averagely invest the majority of their assets in money-market and fixed-income instruments, interest rate risk management could be seen as the single most important global financial issue. However, the majority of the key techniques used by most investors were developed several decades ago, and the advantages of multi-factor models are not fully recognised by many researchers and practitioners. This book provides clear and practical insight into bond portfolios and portfolio management through key empirical analysis. The authors use extensive sets of empirical data to describe the value potentially added by more recent techniques to manage interest rate risk relative to traditional techniques and to present empirical evidence of such an added value. Beginning with a description of the simplest models and moving on to the most complex, the authors offer key recommendations for the future of rate risk management.
Bibliography, etc. Note
Includes bibliographical references (pages 115-120) and index.
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Access limited to authorized users.
Source of Description
Description based on print version record.
Series
Palgrave pivot.
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