Fixed-Income Portfolio Analytics A Practical Guide to Implementing, Monitoring and Understanding 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 tec...
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| Format: | eBook |
| Language: | English |
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Cham
Springer International Publishing
2015, 2015
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| Edition: | 1st ed. 2015 |
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| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- 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