Fixed-Income Portfolio Analytics

A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios

  • David JamiesonĀ Bolder

Table of contents

  1. Front Matter
    Pages i-xxvii
  2. David Jamieson Bolder
    Pages 1-18
  3. From Risk Factors to Returns

    1. Front Matter
      Pages 19-19
    2. David Jamieson Bolder
      Pages 21-46
    3. David Jamieson Bolder
      Pages 47-66
    4. David Jamieson Bolder
      Pages 67-109
  4. The Yield Curve

    1. Front Matter
      Pages 111-111
    2. David Jamieson Bolder
      Pages 113-149
    3. David Jamieson Bolder
      Pages 151-192
  5. Performance

    1. Front Matter
      Pages 193-193
    2. David Jamieson Bolder
      Pages 195-241
    3. David Jamieson Bolder
      Pages 243-275
    4. David Jamieson Bolder
      Pages 277-294
  6. Risk

    1. Front Matter
      Pages 295-295
    2. David Jamieson Bolder
      Pages 297-329
    3. David Jamieson Bolder
      Pages 331-381
    4. David Jamieson Bolder
      Pages 383-416
  7. Risk and Performance

    1. Front Matter
      Pages 417-417
    2. David Jamieson Bolder
      Pages 419-445
    3. David Jamieson Bolder
      Pages 447-484

About this book

Introduction

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.

 

 

Keywords

Fixed Income Performance Attribution Portfolio Analytics Risk Attribution Risk Measurement Yield Curve

Authors and affiliations

  • David JamiesonĀ Bolder
    • 1
  1. 1.Bank for International SettlementsBaselSwitzerland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-12667-8
  • Copyright Information Springer International Publishing Switzerland 2015
  • Publisher Name Springer, Cham
  • eBook Packages Business and Economics
  • Print ISBN 978-3-319-12666-1
  • Online ISBN 978-3-319-12667-8
  • About this book
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