Fixed-income portfolio analytics a practical guide to implementing, monitoring and understanding fixed-income portfolios
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| Main Author: | |
|---|---|
| Language: | English |
| Subjects: | |
| Online Access: | Link to e-book |
| Physical Description: | 1 online resource |
| Bibliography: | Includes bibliographical references and indexes. |
| Published: |
Cham :
Springer,
[2015]
|
| ISBN: | 9783319126678 3319126679 3319126660 9783319126661 |
| Access: | License restrictions may limit access. |
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.