Fixed-income portfolio analytics a practical guide to implementing, monitoring and understanding fixed-income portfolios

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Bibliographic Details
Main Author: Bolder, David (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.