Fixed income analytics : bonds in high and low interest rate environments / Wolfgang Marty.

Fixed income analytics : bonds in high and low interest rate environments / Wolfgang Marty.

Second edition.

9783030471583 (electronic book)
3030471586 (electronic book)
3030471578
9783030471576

Cham, Switzerland : Springer, [2020]

English

1 online resource

10.1007/978-3-030-47

HG4523 .M37 2020

332/.0415

This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated for negative and positive interest rates. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution is analysed and compared to different approaches proposed in the financial industry. The impact of different yield scenarios on a model bond portfolio is illustrated. Market and credit risk are introduced as independent sources of risk. Different concepts for assessing credit markets are described. Lastly, an overview of the benchmark industry is offered and an introduction to convertible bonds is given. This second edition also includes a chapter on multi-currency portfolios as well as a discussion on currency hedging. This book is a valuable resource not only for students and researchers but also for professionals in the financial industry.

Includes bibliographical references and index.

Access limited to authorized users.

Description based on online resource; title from digital title page (viewed on October 20, 2020).

Print version: 9783030471576

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