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Active Fixed Income and Credit Management

BuchKartoniert, Paperback
230 Seiten
Englisch
Springer Palgrave Macmillanerschienen am01.01.20021st ed. 2002
The authors provide the reader with an extensive tool set for active and successful management of fixed income portfolios as well as for credits. Methods applicable for different risk factors - duration, yield curve, basis, volatility and credit management - are illustrated in detail using a top-down and bottom-up approach.mehr
Verfügbare Formate
BuchGebunden
EUR455,50
BuchKartoniert, Paperback
EUR455,50

Produkt

KlappentextThe authors provide the reader with an extensive tool set for active and successful management of fixed income portfolios as well as for credits. Methods applicable for different risk factors - duration, yield curve, basis, volatility and credit management - are illustrated in detail using a top-down and bottom-up approach.
Details
ISBN/GTIN978-1-349-43219-6
ProduktartBuch
EinbandartKartoniert, Paperback
Erscheinungsjahr2002
Erscheinungsdatum01.01.2002
Auflage1st ed. 2002
ReiheFinance and Capital Markets Series
Seiten230 Seiten
SpracheEnglisch
Gewicht318 g
IllustrationenXVI, 230 p. 241 illus.
Artikel-Nr.38258067

Inhalt/Kritik

Inhaltsverzeichnis
ACTIVE DIVERSIFICATION OF FIXED-INCOME PORTFOLIOS The Investment Process and Benchmark Selection Tactical Allocation and its Building Blocks Top-down Approach for a Euroland Portfolio DURATION MANAGEMENT Factors Influencing Duration Management Decision-Making Methods for Duration YIELD CURVE MANAGEMENT Market Directionality of Yield Curves Barbell Analysis Strips Rolldown Analysis Box Trade Analysis BASIS MANAGEMENT Cheapest-to-Deliver Analysis Delivery Option Calendar Spreads Portfolio Replication VOLATILITY MANAGEMENT Volatility and Yields Yield Volatility Option Risk Parameters Efficient Gamma Trading Options Markets and Economic Data Releases CREDIT MANAGEMENT Introduction Characteristics of Corporate Bonds The Top-Down Approach Merton's Approach to Evaluating a Corporate Bond Market Drivers of Credit Spreads Efficient Frontiers and the Sharpe Ratio Industry Selection The Bottom-Up Approach Indentures of Corporate Bonds Corporate Bonds and Defaultsmehr