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Active Fixed Income and Credit Management

  • Authors
  • FrankĀ Hagenstein
  • TimĀ Bangemann

Part of the Finance and Capital Markets Series book series (FCMS)

Table of contents

  1. Front Matter
    Pages i-xvi
  2. Frank Hagenstein, Tim Bangemann
    Pages 1-12
  3. Frank Hagenstein, Tim Bangemann
    Pages 13-22
  4. Frank Hagenstein, Tim Bangemann
    Pages 23-74
  5. Frank Hagenstein, Tim Bangemann
    Pages 75-105
  6. Frank Hagenstein, Tim Bangemann
    Pages 106-123
  7. Frank Hagenstein, Tim Bangemann
    Pages 124-226
  8. Back Matter
    Pages 227-230

About this book

Introduction

The authors provide the reader with an extensive tool set for active and successful management of fixed income portfolios as well as for credits. The focus of discussion is on quantitative and, for credits, qualitative methods of portfolio management. These strategies may be employed for portfolio diversification and in order to outperform the benchmark. 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. Several examples are presented to show the practical relevance of the theoretical models and approach.

Keywords

Bonds Corporate Bonds Investment IT management Options Portfolio Portfolio Diversification Portfolio Management trading Volatility

Bibliographic information

Industry Sectors
Finance, Business & Banking