Fixed-Income Portfolio Analytics

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Sprache: Englisch

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Beschreibung

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.

Über den Autor

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.

Zusammenfassung

Provides a common and consistent framework for performance and risk analytics

Full of practical examples - over 160 figures and almost 100 tables - to support complex ideas

Shows not only how to measure and attribute performance and risk, but also how to test their consistency

Includes supplementary material: [...]

Inhaltsverzeichnis

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.

Details

Erscheinungsjahr:	2016
Fachbereich:	Volkswirtschaft
Genre:	Recht , Sozialwissenschaften , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Inhalt:	xxvii 544 S. 155 s/w Illustr. 15 farbige Illustr. 544 p. 170 illus. 15 illus. in color.
ISBN-13:	9783319365442
ISBN-10:	3319365444
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Bolder, David Jamieson
Auflage:	Softcover reprint of the original 1st edition 2015
Hersteller:	Springer Birkhäuser Springer International Publishing AG
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	235 x 155 x 31 mm
Von/Mit:	David Jamieson Bolder
Erscheinungsdatum:	08.10.2016
Gewicht:	0,855 kg