Fixed Income Portfolio Analytics
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Fixed Income Portfolio Analytics
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Author : David Jamieson Bolder
language : en
Publisher: Springer
Release Date : 2016-10-08
Fixed Income Portfolio Analytics written by David Jamieson Bolder and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-08 with Business & Economics categories.
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.
Fixed Income Portfolio Analytics
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Author : David Jamieson Bolder
language : en
Publisher: Springer
Release Date : 2015-02-02
Fixed Income Portfolio Analytics written by David Jamieson Bolder and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-02 with Business & Economics categories.
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.
Fixed Income Analytics
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Author : Kenneth D. Garbade
language : en
Publisher: MIT Press
Release Date : 1996
Fixed Income Analytics written by Kenneth D. Garbade and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Business & Economics categories.
Bringing together 20 papers written by, and for, practitioners in the US treasury, this text on fixed income analysis, focuses on applicable techniques, and presents quantitative methodologies for the analysis of fixed income securities.
Introduction To Fixed Income Analytics
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2010-09-17
Introduction To Fixed Income Analytics written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-09-17 with Business & Economics categories.
A comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change. That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities). Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more Includes updated charts and descriptions using Bloomberg screens Covers important analytical concepts used by portfolio managers Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.
Demystifying Fixed Income Analytics
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Author : Kedar Nath Mukherjee
language : en
Publisher: Routledge Chapman & Hall
Release Date : 2021
Demystifying Fixed Income Analytics written by Kedar Nath Mukherjee and has been published by Routledge Chapman & Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Fixed-income securities categories.
This book discusses important aspects of fixed income securities in emerging economies. Key features - Clarifies all conceptual and analytical aspects of fixed income securities and bonds, and covers important interest rate and credit derivative instruments in a simple and practical way. - Examines topics such as classifications of fixed income instruments; related risk-return measures; yield curve and term structure of interest rates; interest rate derivatives (forwards, futures and swaps), credit derivatives (credit default swaps); and trading strategies and risk management. - Provides step-by-step explanation of fixed income products by including real-life examples, scenarios and cases, especially in the context of emerging markets. - Presents consistent reference of actual market practices to make the chapters practice oriented while maintaining a lucid style complemented by adequate reading inputs and clear learning outcomes. - Includes complete solutions of numericals and cases for all chapters as an eResource on the Routledge website to aid understanding. The book will serve as a ready guide to both professionals from banking and finance industry (fixed income/bond dealers; fund/investment/portfolio managers; investment bankers; financial analysts/consultants; risk management specialists), and those in academics, including students, research scholars, and teachers in the fields of business management, banking, insurance, finance, financial economics, business economics, and risk management.
Fixed Income Analysis
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Author : Barbara S. Petitt
language : en
Publisher: John Wiley & Sons
Release Date : 2015-02-06
Fixed Income Analysis written by Barbara S. Petitt and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-06 with Business & Economics categories.
The essential guide to fixed income portfolio management, from the experts at CFA Fixed Income Analysis is a new edition of Frank Fabozzi's Fixed Income Analysis, Second Edition that provides authoritative and up-to-date coverage of how investment professionals analyze and manage fixed income portfolios. With detailed information from CFA Institute, this guide contains comprehensive, example-driven presentations of all essential topics in the field to provide value for self-study, general reference, and classroom use. Readers are first introduced to the fundamental concepts of fixed income before continuing on to analysis of risk, asset-backed securities, term structure analysis, and a general framework for valuation that assumes no prior relevant background. The final section of the book consists of three readings that build the knowledge and skills needed to effectively manage fixed income portfolios, giving readers a real-world understanding of how the concepts discussed are practically applied in client-based scenarios. Part of the CFA Institute Investment series, this book provides a thorough exploration of fixed income analysis, clearly presented by experts in the field. Readers gain critical knowledge of underlying concepts, and gain the skills they need to translate theory into practice. Understand fixed income securities, markets, and valuation Master risk analysis and general valuation of fixed income securities Learn how fixed income securities are backed by pools of assets Explore the relationships between bond yields of different maturities Investment analysts, portfolio managers, individual and institutional investors and their advisors, and anyone with an interest in fixed income markets will appreciate this access to the best in professional quality information. For a deeper understanding of fixed income portfolio management practices, Fixed Income Analysis is a complete, essential resource.
The Advanced Fixed Income And Derivatives Management Guide
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Author : Saied Simozar
language : en
Publisher: John Wiley & Sons
Release Date : 2015-06-15
The Advanced Fixed Income And Derivatives Management Guide written by Saied Simozar and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-15 with Business & Economics categories.
A highly-detailed, practical analysis of fixed income management The Advanced Fixed Income and Derivatives Management Guide provides a completely novel framework for analysis of fixed income securities and portfolio management, with over 700 useful equations. The most detailed analysis of inflation linked and corporate securities and bond options analysis available;, this book features numerous practical examples that can be used for creating alpha transfer to any fixed income portfolio. With a framework that unifies back office operations, such as risk management and portfolio management in a consistent way, readers will be able to better manage all sectors of fixed income, including bonds, mortgages, credits, and currencies, and their respective derivatives, including bond and interest rate futures and options, callable bonds, credit default swaps, interest rate swaps, swaptions and inflation swaps. Coverage includes never-before-seen detail on topics including recovery value, partial yields, arbitrage, and more, and the companion website features downloadable worksheets that can be used for measuring the risks of securities based on the term structure models. Many theoretical models of the Term Structure of Interest Rates (TSIR) lack the accuracy to be used by market practitioners, and the most popular models are not mathematically stable. This book helps readers develop stable and accurate TSIR for all fundamental rates, enabling analysis of even the most complex securities or cash flow structure. The components of the TSIR are almost identical to the modes of fluctuations of interest rates and represent the language with which the markets speak. Examine unique arbitrage, risk measurement, performance attribution, and replication of bond futures Learn to estimate recovery value from market data, and the impact of recovery value on risks Gain deeper insight into partial yields, product design, and portfolio construction Discover the proof that corporate bonds cannot follow efficient market hypothesis This useful guide provides a framework for systematic and consistent management of all global fixed income assets based on the term structure of rates. Practitioners seeking a more thorough management system will find solutions in The Advanced Fixed Income and Derivatives Management Guide.
Risk Management
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Author : Bennett W. Golub
language : en
Publisher: John Wiley & Sons
Release Date : 2000-07-11
Risk Management written by Bennett W. Golub and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-07-11 with Business & Economics categories.
RISK MANAGEMENT APPROACHES FOR FIXED INCOME MARKETS "Golub-Tilman will, I believe, become an absolutely essential reference text for fixed income portfolio managers, traders, issuers, and scholars. It is comprehensive and clearly written. While rigorous, it is easy to understand because of its many practical examples." —Richard Roll, The Allstate Chair in Finance and Insurance, The Anderson School at UCLA, Past President, American Finance Association "Outstanding and unique! A thorough discussion of the theoretical underpinning of risk management combined with keen insights from a practitioner's perspective. This text will rank among the most essential readings for both market professionals and academics." —Gregory J. Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac "The most systematic and comprehensive overview of fixed income risk management." —Philippe Jorion, Professor of Finance, University of California-Irvine, Author, Value at Risk: The New Benchmark for Controlling Derivatives Risk "An inside look at approaches to fixed income risk management developed at a leading investment firm. The rigorous presentation covers both theoretical and practical considerations as well as their applications to portfolio management. Very interesting and highly recommended." —Charles W. Grant, Managing Director of Fixed Income, Virginia Retirement System "Few, if any, financial studies have managed to reconcile practical market experience and scientific discipline within such an original approach and with such elegance! An absolute must for anyone in the world of fixed income." —Michele Donegani, Head of Asset Allocation and Manager Selection, European Investment Managers (EIM)
Fixed Income Securities And Derivatives Handbook
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Author : Moorad Choudhry
language : en
Publisher: John Wiley & Sons
Release Date : 2010-08-02
Fixed Income Securities And Derivatives Handbook written by Moorad Choudhry and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-08-02 with Business & Economics categories.
The definitive guide to fixed-come securities-revised to reflect today's dynamic financial environment The Second Edition of the Fixed-Income Securities and Derivatives Handbook offers a completely updated and revised look at an important area of today's financial world. In addition to providing an accessible description of the main elements of the debt market, concentrating on the instruments used and their applications, this edition takes into account the effect of the recent financial crisis on fixed income securities and derivatives. As timely as it is timeless, the Second Edition of the Fixed-Income Securities and Derivatives Handbook includes a wealth of new material on such topics as covered and convertible bonds, swaps, synthetic securitization, and bond portfolio management, as well as discussions regarding new regulatory twists and the evolving derivatives market. Offers a more detailed look at the basic principles of securitization and an updated chapter on collateralized debt obligations Covers bond mathematics, pricing and yield analytics, and term structure models Includes a new chapter on credit analysis and the different metrics used to measure bond-relative value Contains illustrative case studies and real-world examples of the topics touched upon throughout the book Written in a straightforward and accessible style, Moorad Choudhry's new book offers the ideal mix of practical tips and academic theory within this important field.
Fixed Income Securities
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Author : Bruce Tuckman
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-13
Fixed Income Securities written by Bruce Tuckman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-13 with Business & Economics categories.
Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates.