Fixed-Income Portfolio Analytics
A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios
Published on 8. October 2016
Book
Paperback/Softback
XXVII, 544 pages
978-3-319-36544-2 (ISBN)
Description
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.
More details
Edition
Softcover reprint of the original 1st ed. 2015
Language
English
Place of publication
Cham
Switzerland
Publishing group
Springer International Publishing
Target group
Professional and scholarly
Illustrations
15 farbige Abbildungen, 155 s/w Abbildungen
XXVII, 544 p. 170 illus., 15 illus. in color.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 31 mm
Weight
855 gr
ISBN-13
978-3-319-36544-2 (9783319365442)
DOI
10.1007/978-3-319-12667-8
Schweitzer Classification
Other editions
Additional editions
David Jamieson Bolder
Fixed-Income Portfolio Analytics
A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios
Book
03/2015
Springer
€106.99
Shipment within 10-15 days
Person
David Jamieson Bolder is currently head of the World Bank Group's (WBG) model-risk function. Prior to this appointment, he provided analytic support to the Bank for International Settlements' (BIS) treasury and asset-management functions and worked in quantitative roles at the Bank of Canada, the World Bank Treasury, and the European Bank for Reconstruction and Development. He has authored numerous papers, articles, and chapters in books on financial modelling, stochastic simulation, and optimization. He has also published a comprehensive book on fixed-income portfolio analytics. His career has focused on the application of mathematical techniques towards informing decision-making in the areas of sovereign-debt, pension-fund, portfolio-risk, and foreign-reserve management.
Content
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.