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Author: Moorad Choudhry
Publisher: Elsevier
ISBN: 0080999417
Category : Business & Economics
Languages : en
Pages : 268
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Book Description
Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry's method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. - Presents practitioner-level theories and applications, never available in textbooks - Focuses on financial markets, not mathematics - Covers relative value investing, returns analysis, and risk estimation
Author: Moorad Choudhry
Publisher: Elsevier
ISBN: 0080999417
Category : Business & Economics
Languages : en
Pages : 268
Get Book Here
Book Description
Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry's method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. - Presents practitioner-level theories and applications, never available in textbooks - Focuses on financial markets, not mathematics - Covers relative value investing, returns analysis, and risk estimation
Author: Wesley Phoa
Publisher: John Wiley & Sons
ISBN: 9781883249342
Category : Business & Economics
Languages : en
Pages : 242
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Book Description
Advanced Fixed Income Analytics helps fixed income professionals stay abreast of the latest developments in the field by providing a practical account of quantitative methods in the fixed income market. Wesley Phoa covers a variety of important topics within the bond markets, including inflation-indexed bonds, prepayment risk and modeling, term structure models, credit spread and volatility risk, and risk measures and return attribution. The information and guidance of Advanced Fixed Income Analytics has a strong emphasis on empirical analysis and practical applications that will prepare you for anything within the fixed income market.
Author: Saied Simozar
Publisher: John Wiley & Sons
ISBN: 111901414X
Category : Business & Economics
Languages : en
Pages : 368
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Book Description
A highly-detailed, practical analysis of fixed income management The Advanced Fixed Income and Derivatives Management Guide provides a completely novel framework for analysis of fixed income securities and portfolio management, with over 700 useful equations. The most detailed analysis of inflation linked and corporate securities and bond options analysis available;, this book features numerous practical examples that can be used for creating alpha transfer to any fixed income portfolio. With a framework that unifies back office operations, such as risk management and portfolio management in a consistent way, readers will be able to better manage all sectors of fixed income, including bonds, mortgages, credits, and currencies, and their respective derivatives, including bond and interest rate futures and options, callable bonds, credit default swaps, interest rate swaps, swaptions and inflation swaps. Coverage includes never-before-seen detail on topics including recovery value, partial yields, arbitrage, and more, and the companion website features downloadable worksheets that can be used for measuring the risks of securities based on the term structure models. Many theoretical models of the Term Structure of Interest Rates (TSIR) lack the accuracy to be used by market practitioners, and the most popular models are not mathematically stable. This book helps readers develop stable and accurate TSIR for all fundamental rates, enabling analysis of even the most complex securities or cash flow structure. The components of the TSIR are almost identical to the modes of fluctuations of interest rates and represent the language with which the markets speak. Examine unique arbitrage, risk measurement, performance attribution, and replication of bond futures Learn to estimate recovery value from market data, and the impact of recovery value on risks Gain deeper insight into partial yields, product design, and portfolio construction Discover the proof that corporate bonds cannot follow efficient market hypothesis This useful guide provides a framework for systematic and consistent management of all global fixed income assets based on the term structure of rates. Practitioners seeking a more thorough management system will find solutions in The Advanced Fixed Income and Derivatives Management Guide.
Author: Kenneth D. Garbade
Publisher: MIT Press
ISBN: 9780262071765
Category : Business & Economics
Languages : en
Pages : 490
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Book Description
Bringing together 20 papers written by, and for, practitioners in the US treasury, this text on fixed income analysis, focuses on applicable techniques, and presents quantitative methodologies for the analysis of fixed income securities.
Author: David Jamieson Bolder
Publisher: Springer
ISBN: 3319126679
Category : Business & Economics
Languages : en
Pages : 559
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Book Description
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.
Author: Narasimhan Jegadeesh
Publisher: John Wiley & Sons
ISBN: 9780471254195
Category : Business & Economics
Languages : en
Pages : 438
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Book Description
Presenting the most advanced thinking on the topic, this book covers the latest valuation models and techniques. It addresses essential topics such as the subtleties of fixed-income mathematics, new approaches to modeling term structures, and the applications of fixed-income valuation on credit risk, mortgages, munis, and indexed bonds.
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0470922109
Category : Business & Economics
Languages : en
Pages : 501
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Book Description
A comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change. That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities). Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more Includes updated charts and descriptions using Bloomberg screens Covers important analytical concepts used by portfolio managers Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.
Author: Barbara S. Petitt
Publisher: John Wiley & Sons
ISBN: 1118999495
Category : Business & Economics
Languages : en
Pages : 752
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Book Description
The essential guide to fixed income portfolio management, from the experts at CFA Fixed Income Analysis is a new edition of Frank Fabozzi's Fixed Income Analysis, Second Edition that provides authoritative and up-to-date coverage of how investment professionals analyze and manage fixed income portfolios. With detailed information from CFA Institute, this guide contains comprehensive, example-driven presentations of all essential topics in the field to provide value for self-study, general reference, and classroom use. Readers are first introduced to the fundamental concepts of fixed income before continuing on to analysis of risk, asset-backed securities, term structure analysis, and a general framework for valuation that assumes no prior relevant background. The final section of the book consists of three readings that build the knowledge and skills needed to effectively manage fixed income portfolios, giving readers a real-world understanding of how the concepts discussed are practically applied in client-based scenarios. Part of the CFA Institute Investment series, this book provides a thorough exploration of fixed income analysis, clearly presented by experts in the field. Readers gain critical knowledge of underlying concepts, and gain the skills they need to translate theory into practice. Understand fixed income securities, markets, and valuation Master risk analysis and general valuation of fixed income securities Learn how fixed income securities are backed by pools of assets Explore the relationships between bond yields of different maturities Investment analysts, portfolio managers, individual and institutional investors and their advisors, and anyone with an interest in fixed income markets will appreciate this access to the best in professional quality information. For a deeper understanding of fixed income portfolio management practices, Fixed Income Analysis is a complete, essential resource.
Author: Kedar Nath Mukherjee
Publisher: Taylor & Francis
ISBN: 1000088685
Category : Business & Economics
Languages : en
Pages : 491
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Book Description
This book discusses important aspects of fixed income securities in emerging economies. Key features • Clarifies all conceptual and analytical aspects of fixed income securities and bonds, and covers important interest rate and credit derivative instruments in a simple and practical way. • Examines topics such as classifications of fixed income instruments; related risk-return measures; yield curve and term structure of interest rates; interest rate derivatives (forwards, futures and swaps), credit derivatives (credit default swaps); and trading strategies and risk management. • Provides step-by-step explanation of fixed income products by including real-life examples, scenarios and cases, especially in the context of emerging markets. • Presents consistent reference of actual market practices to make the chapters practice oriented while maintaining a lucid style complemented by adequate reading inputs and clear learning outcomes. • Includes complete solutions of numericals and cases for all chapters as an eResource on the Routledge website to aid understanding. The book will serve as a ready guide to both professionals from banking and finance industry (fixed income/bond dealers; fund/investment/portfolio managers; investment bankers; financial analysts/consultants; risk management specialists), and those in academics, including students, research scholars, and teachers in the fields of business management, banking, insurance, finance, financial economics, business economics, and risk management.
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0471785768
Category : Business & Economics
Languages : en
Pages : 578
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Book Description
In order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that. Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include: General background information on fixed-income markets and bond portfolio strategies The design of a strategy benchmark Various aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process Interest rate risk and credit risk management Risk factors involved in the management of an international bond portfolio Filled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.
