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.
Auflage
Sprache
Verlagsort
Verlagsgruppe
Springer International Publishing
Illustrationen
155
15 farbige Abbildungen, 155 s/w Abbildungen
XXVII, 544 p. 170 illus., 15 illus. in color.
Dateigröße
ISBN-13
978-3-319-12667-8 (9783319126678)
DOI
10.1007/978-3-319-12667-8
Schlagworte
Schweitzer Klassifikation
Thema Klassifikation
DNB DDC Sachgruppen
Dewey Decimal Classfication (DDC)
BIC 2 Klassifikation
BISAC Klassifikation
Warengruppensystematik 2.0
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.
