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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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Main Author: Bolder, David Jamieson. (Author, http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2015.
Edition:1st ed. 2015.
Subjects:
Finance.
Economics, Mathematical .
Personal finance.
Pension plans.
Management.
Finance, general.
Quantitative Finance.
Personal Finance/Wealth Management/Pension Planning.
Online Access:https://doi.org/10.1007/978-3-319-12667-8
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.

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