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

David Jamieson Bolder

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.

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Year of publication:	[2015]
Authors:	Bolder, David Jamieson
Publisher:	Cham : Springer
Subject:	Portfolio-Management \| Portfolio selection \| Anleihe \| Bond

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Extent:	Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references and indexes Foreword; Preface; Acknowledgements; Contents; List of Figures; List of Tables; 1 What Is Portfolio Analytics?; 1.1 Fixed-Income Portfolio Management; 1.2 Strategy; 1.3 Tactics; 1.3.1 Asset Classes vs. Risk Factors; 1.4 Strategy and Tactics; 1.5 Key Characteristics; 1.5.1 Principles; 1.6 An Appetizer; 1.6.1 Exposure; 1.6.2 Risk; 1.6.3 Return; 1.7 The Coming Chapters; References; Part I From Risk Factors to Returns; 2 Computing Exposures; 2.1 A Starting Point; 2.2 Simple Yield Exposure; 2.3 Correcting for Our Linear Approximation; 2.4 Time Exposure; 2.5 Key-Rate Exposures 2.5.1 A Word of Caution2.6 Spread Exposure; 2.7 Foreign-Exchange Exposure; 2.8 Concluding Thoughts; Reference; 3 A Useful Approximation; 3.1 What We Want; 3.2 The Taylor Series; 3.3 Applying the Taylor Series; 3.3.1 Adding Risk Factors; 3.4 The Foreign-Exchange Dimension; 3.5 Closing Thoughts; References; 4 Extending Our Framework; 4.1 Handling Inflation-Linked Bonds; 4.1.1 Revisiting Exposures; 4.1.2 Adjusting our Useful Approximation; 4.2 Handling Floating-Rate Notes; 4.3 Handling Fixed-Income Derivatives Contracts; 4.3.1 Interest-Rate Futures; 4.3.2 Bond Futures; 4.4 Closing Thoughts ReferencesPart II The Yield Curve; 5 Fitting Yield Curves; 5.1 Getting Started; 5.2 Yield Curves 101; 5.2.1 Pure-Discount Bond Prices; 5.2.2 Spot Rates; 5.2.3 Par Yields; 5.2.4 Implied-Forward Rates; 5.2.5 Bringing It All Together; 5.3 Curve-Fitting; 5.3.1 The Classic Approach; 5.3.2 Non-Classical Approaches; 5.4 Concluding Thoughts; References; 6 Modelling Yield Curves; 6.1 Why a Dynamic Yield-Curve Model?; 6.2 Building a Model; 6.2.1 A1; 6.2.2 A2; 6.2.3 A3; 6.2.4 Bringing it All Together; 6.3 A Statistical Digression; 6.4 Model Examples; 6.4.1 A Toy Example; 6.4.2 A Complex Example 6.4.3 A Simpler Example6.5 Concluding Thoughts; References; Part III Performance; 7 Basic Performance Attribution; 7.1 A Single Security; 7.1.1 Dealing with Cash-Flows; 7.1.2 Revisiting Our Risk-Factor Decomposition; 7.2 Attribution of a Single Fixed-Income Security; 7.2.1 Carry Return; 7.2.2 Credit-Spread Return; 7.2.3 Treasury-Curve Return; 7.2.4 Convexity Return; 7.2.5 Foreign-Exchange Return; 7.2.6 Pulling It All Together; 7.3 Attribution of a Fixed-Income Portfolio; 7.4 Closing Thoughts; References; 8 Advanced Performance Attribution; 8.1 Truth in Advertising; 8.2 Daily Attribution 8.3 A Simple Practical Example8.3.1 The Very Fine Print; 8.4 A Complicated Practical Example; 8.4.1 An Experiment; 8.4.2 Regression Analysis; 8.4.3 An Invented Measure; 8.4.4 Approximation Errors; 8.5 Some Frustrating Mathematical Facts; 8.6 Smoothing Returns; 8.7 Concluding Thoughts; References; 9 Traditional Performance Attribution; 9.1 Asset Allocation and Security Selection; 9.2 The Roll-Down Effect; 9.3 Concluding Thoughts; References; Part IV Risk; 10 Introducing Risk; 10.1 Defining Risk; 10.1.1 Determining Outcomes; 10.1.2 Assigning Probabilities; 10.1.3 Getting to Risk 10.2 A Simple Example
ISBN:	978-3-319-12667-8 ; 3-319-12667-9 ; 978-3-319-12666-1 ; 978-3-319-12667-8
Source:	ECONIS - Online Catalogue of the ZBW

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