Fixed-Income Portfolio Analytics A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios /

• Main Author: Bolder, David Jamieson (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2015.
• Subjects: Finance.; Management.; Personal finance.; Pension plans.; Economics, Mathematical.; Finance, general.; Quantitative Finance.; Wealth Management/Pension Planning.

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...

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.