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Fixed-Income Portfolio Analytics: A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios 2015 ed. [Kietas viršelis]

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  • Formatas: Hardback, 544 pages, aukštis x plotis: 235x155 mm, weight: 9753 g, 15 Illustrations, color; 155 Illustrations, black and white; XXVII, 544 p. 170 illus., 15 illus. in color., 1 Hardback
  • Išleidimo metai: 12-Mar-2015
  • Leidėjas: Springer International Publishing AG
  • ISBN-10: 3319126660
  • ISBN-13: 9783319126661
Kitos knygos pagal šią temą:
Fixed-Income Portfolio Analytics: A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios 2015 ed.Didesnis paveikslėlis
  • Formatas: Hardback, 544 pages, aukštis x plotis: 235x155 mm, weight: 9753 g, 15 Illustrations, color; 155 Illustrations, black and white; XXVII, 544 p. 170 illus., 15 illus. in color., 1 Hardback
  • Išleidimo metai: 12-Mar-2015
  • Leidėjas: Springer International Publishing AG
  • ISBN-10: 3319126660
  • ISBN-13: 9783319126661
Kitos knygos pagal šią temą:
Pastovi nuoroda: https://www.kriso.lt/db/9783319126661.html
Raktažodžiai:

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.

1 What Is Portfolio Analytics?
1(20)
1.1 Fixed-Income Portfolio Management
1(1)
1.2 Strategy
2(2)
1.3 Tactics
4(3)
1.3.1 Asset Classes vs. Risk Factors
5(2)
1.4 Strategy and Tactics
7(1)
1.5 Key Characteristics
8(3)
1.5.1 Principles
10(1)
1.6 An Appetizer
11(5)
1.6.1 Exposure
12(1)
1.6.2 Risk
13(2)
1.6.3 Return
15(1)
1.7 The Coming
Chapters
16(1)
References
17(4)
Part I From Risk Factors to Returns
2 Computing Exposures
21(26)
2.1 A Starting Point
21(1)
2.2 Simple Yield Exposure
22(7)
2.3 Correcting for Our Linear Approximation
29(2)
2.4 Time Exposure
31(2)
2.5 Key-Rate Exposures
33(7)
2.5.1 A Word of Caution
39(1)
2.6 Spread Exposure
40(5)
2.7 Foreign-Exchange Exposure
45(1)
2.8 Concluding Thoughts
46(1)
Reference
46(1)
3 A Useful Approximation
47(20)
3.1 What We Want
48(2)
3.2 The Taylor Series
50(5)
3.3 Applying the Taylor Series
55(7)
3.3.1 Adding Risk Factors
60(2)
3.4 The Foreign-Exchange Dimension
62(3)
3.5 Closing Thoughts
65(1)
References
66(1)
4 Extending Our Framework
67(46)
4.1 Handling Inflation-Linked Bonds
68(16)
4.1.1 Revisiting Exposures
68(12)
4.1.2 Adjusting our Useful Approximation
80(4)
4.2 Handling Floating-Rate Notes
84(6)
4.3 Handling Fixed-Income Derivatives Contracts
90(19)
4.3.1 Interest-Rate Futures
90(8)
4.3.2 Bond Futures
98(11)
4.4 Closing Thoughts
109(1)
References
109(4)
Part II The Yield Curve
5 Fitting Yield Curves
113(38)
5.1 Getting Started
114(3)
5.2 Yield Curves 101
117(11)
5.2.1 Pure-Discount Bond Prices
118(1)
5.2.2 Spot Rates
119(1)
5.2.3 Par Yields
120(4)
5.2.4 Implied-Forward Rates
124(2)
5.2.5 Bringing It All Together
126(2)
5.3 Curve-Fitting
128(20)
5.3.1 The Classic Approach
129(8)
5.3.2 Non-Classical Approaches
137(11)
5.4 Concluding Thoughts
148(1)
References
148(3)
6 Modelling Yield Curves
151(44)
6.1 Why a Dynamic Yield-Curve Model?
152(7)
6.2 Building a Model
159(9)
6.2.1 A1
160(2)
6.2.2 A2
162(4)
6.2.3 A3
166(1)
6.2.4 Bringing it All Together
167(1)
6.3 A Statistical Digression
168(6)
6.4 Model Examples
174(15)
6.4.1 A Toy Example
174(3)
6.4.2 A Complex Example
177(7)
6.4.3 A Simpler Example
184(5)
6.5 Concluding Thoughts
189(1)
References
190(5)
Part III Performance
7 Basic Performance Attribution
195(48)
7.1 A Single Security
200(8)
7.1.1 Dealing with Cash-Flows
201(5)
7.1.2 Revisiting Our Risk-Factor Decomposition
206(2)
7.2 Attribution of a Single Fixed-Income Security
208(21)
7.2.1 Carry Return
211(4)
7.2.2 Credit-Spread Return
215(1)
7.2.3 Treasury-Curve Return
215(11)
7.2.4 Convexity Return
226(1)
7.2.5 Foreign-Exchange Return
227(1)
7.2.6 Pulling It All Together
228(1)
7.3 Attribution of a Fixed-Income Portfolio
229(12)
7.4 Closing Thoughts
241(1)
References
241(2)
8 Advanced Performance Attribution
243(34)
8.1 Truth in Advertising
244(2)
8.2 Daily Attribution
246(5)
8.3 A Simple Practical Example
251(9)
8.3.1 The Very Fine Print
259(1)
8.4 A Complicated Practical Example
260(7)
8.4.1 An Experiment
260(1)
8.4.2 Regression Analysis
261(3)
8.4.3 An Invented Measure
264(1)
8.4.4 Approximation Errors
265(2)
8.5 Some Frustrating Mathematical Facts
267(4)
8.6 Smoothing Returns
271(3)
8.7 Concluding Thoughts
274(1)
References
274(3)
9 Traditional Performance Attribution
277(20)
9.1 Asset Allocation and Security Selection
278(10)
9.2 The Roll-Down Effect
288(6)
9.3 Concluding Thoughts
294(1)
References
294(3)
Part IV Risk
10 Introducing Risk
297(34)
10.1 Defining Risk
297(5)
10.1.1 Determining Outcomes
298(1)
10.1.2 Assigning Probabilities
299(1)
10.1.3 Getting to Risk
300(2)
10.2 A Simple Example
302(4)
10.3 A More Complicated Example
306(11)
10.3.1 Enter the Distribution
310(2)
10.3.2 Relaxing Normality
312(2)
10.3.3 The Role of Dependence
314(3)
10.4 A Specific Risk Measure
317(9)
10.4.1 Looking Backwards
319(2)
10.4.2 Looking Forward
321(3)
10.4.3 Comparing Forward- and Backward-Looking Perspectives
324(2)
10.5 Using Tracking Error
326(2)
10.6 Concluding Thoughts
328(1)
References
329(2)
11 Portfolio Risk
331(52)
11.1 The Punchline
334(2)
11.2 Getting Started
336(12)
11.2.1 Portfolio Weights
337(3)
11.2.2 Incorporating Risk-Factor Exposures
340(3)
11.2.3 Handling Market Movements
343(3)
11.2.4 Computing Return Distributions
346(2)
11.3 Understanding and Exploring ΩR
348(18)
11.3.1 Variance 101
348(3)
11.3.2 Linking Covariance and Correlation
351(2)
11.3.3 Classic and Alternative Estimators of ΩR
353(7)
11.3.4 Simulating Random Realizations
360(6)
11.4 The Final Results
366(3)
11.5 Attributing Risk
369(11)
11.6 Concluding Thoughts
380(1)
References
381(2)
12 Exploring Uncertainty in Risk Measurement
383(36)
12.1 Sensitivity Analysis
384(17)
12.1.1 Setting the Stage
385(3)
12.1.2 The Data Frequency
388(3)
12.1.3 Weighting Scheme
391(6)
12.1.4 Role of Dependence
397(3)
12.1.5 Summing Up
400(1)
12.2 Backtesting
401(15)
12.2.1 A Heuristic Perspective
402(3)
12.2.2 A More Formal Perspective
405(4)
12.2.3 Thinking Optimally
409(7)
12.3 Concluding Thoughts
416(1)
References
416(3)
Part V Risk and Performance
13 Combining Risk and Return
419(28)
13.1 The Data
422(7)
13.1.1 Understanding Our data
423(6)
13.2 Dampening Return Noise
429(8)
13.2.1 The Moving Average
429(1)
13.2.2 The Hodrick—Prescott Filter
430(1)
13.2.3 The Kernel Regression
431(1)
13.2.4 An Engineering Approach
432(2)
13.2.5 Model Comparison
434(1)
13.2.6 Implications of Filtering
435(2)
13.3 Combining Risk and Return
437(5)
13.3.1 Moving to the Risk-Factor Level
441(1)
13.4 So What?
442(2)
13.5 Concluding Thoughts
444(1)
References
445(2)
14 The Ex-Post World
447(38)
14.1 Basic Statistical Analysis
448(11)
14.2 Some Theory
459(8)
14.2.1 Introducing β
460(3)
14.2.2 Introducing α
463(2)
14.2.3 α and β
465(2)
14.3 Relative Risk
467(5)
14.4 Risk-Adjusted Ratios
472(7)
14.5 Beyond CAPM
479(3)
14.6 Bringing It All Together
482(1)
14.7 Concluding Thoughts
483(1)
References
484(1)
A Some Mathematical Background 485(40)
A.1 Set Theory
486(1)
A.2 Probability
487(4)
A.2.1 Conditional Probability
489(2)
A.2.2 Independence
491(1)
A.3 Statistics
491(17)
A.3.1 Distributions and Densities
492(4)
A.3.2 Working with Distribution and Density Functions
496(1)
A.3.3 Some Sample Statistical Distributions
497(7)
A.3.4 Multivariate Statistics
504(4)
A.4 Matrix Theory
508(15)
A.4.1 Solving Linear Systems
511(5)
A.4.2 Cholesky Decomposition
516(2)
A.4.3 Eigenvalues and Eigenvectors
518(5)
References
523(2)
B A Few Thoughts on Optimization 525(10)
B.1 A Linear Program
527(6)
B.1.1 A Simple Case
528(4)
B.1.2 Extending the Simple Case
532(1)
B.2 Concluding Thoughts
533(1)
References
534(1)
Index 535(6)
Author Index 541