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Quantitative Management of Bond Portfolios
Lev Dynkin, Anthony Gould, Jay Hyman, et al.
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Sozialwissenschaften, Recht, Wirtschaft / Betriebswirtschaft
Beschreibung
The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management.
The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures.
A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.
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High-yield debt, Credit derivative, Yield curve, Financial asset, Portfolio optimization, Credit spread (options), Equity (finance), Issuer, Interest rate, Asset allocation, Financial risk modeling, Portfolio manager, Central bank, Real versus nominal value (economics), Fixed income, Tracking error, Liability (financial accounting), Valuation (finance), Interest rate swap, Macroeconomic Factor, Market Value Of Equity, Credit risk, Margin (finance), Treasury Index, Bond credit rating, Investment style, Bond Swap, Investment, Lehman Brothers, Income, Currency swap, Currency, Liquidity premium, Beta (finance), Bond Yield, Information ratio, Terminal value (finance), Equity Market, Investor, Market liquidity, Swap (finance), Diversification (finance), Mark-to-market accounting, Debt service coverage ratio, Currency overlay, Leverage (finance), Standard deviation, Hedge (finance), Market value, Price return, Index Futures, Bond (finance), Cash flow, Bond Discount, Hedge fund, Trading strategy, Historical simulation (finance), Derivative (finance), Investment strategy, Bond market, Security (finance), Statistical arbitrage, Financial economics, Credit default swap, Asset, Credit (finance), Liquidity preference (venture capital), Treasury Yield, Benchmark Bond, Covered interest arbitrage