Fixed-income portfolio analytics: a practical guide to implementing, monitoring and understanding fixed-income portfolios
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cham ; Heidelberg ; New York ; Dordrecht ; London
Springer
[2015]
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| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | xxvii, 544 Seiten Diagramme |
| ISBN: | 9783319126661 3319126660 |
Staff View
MARC
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| 245 | 1 | 0 | |a Fixed-income portfolio analytics |b a practical guide to implementing, monitoring and understanding fixed-income portfolios |c David Jamieson Bolder |
| 264 | 1 | |a Cham ; Heidelberg ; New York ; Dordrecht ; London |b Springer |c [2015] | |
| 264 | 4 | |c © 2015 | |
| 300 | |a xxvii, 544 Seiten |b Diagramme | ||
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| 653 | |a Fixed Income | ||
| 653 | |a Portfolio Analytics | ||
| 653 | |a Yield Curve | ||
| 653 | |a Risk Measurement | ||
| 653 | |a Risk Attribution | ||
| 653 | |a Performance Attribution | ||
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Contents
1 What Is Portfolio Analytics?. 1
1.1 Fixed-Income Portfolio Management. 1
1.2 Strategy. 2
1.3 Tactics. 4
1.3.1 Asset Classes vs. Risk Factors. 5
1.4 Strategy and Tactics. 7
1.5 Key Characteristics. 8
1.5.1 Principles. 10
1.6 An Appetizer. 11
1.6.1 Exposure. 12
1.6.2 Risk. 13
1.6.3 Return. 15
1.7 The Coming Chapters. 16
References. 17
Part I From Risk Factors to Returns
2 Computing Exposures. 21
2.1 A Starting Point. 21
2.2 Simple Yield Exposure. 22
2.3 Correcting for Our Linear Approximation. 29
2.4 Time Exposure . 31
2.5 Key-Rate Exposures. 33
2.5.1 A Word of Caution . 39
2.6 Spread Exposure. 40
2.7 Foreign-Exchange Exposure. 45
2.8 Concluding Thoughts. 46
Reference. 46
3 A Useful Approximation. 47
3.1 What We Want. 48
3.2 The Taylor Series. 50
xiii
xiv Contents
3.3 Applying the Taylor Series . 55
3.3.1 Adding Risk Factors. 60
3.4 The Foreign-Exchange Dimension. 62
3.5 Closing Thoughts. 65
References. 66
4 Extending Our Framework. 67
4.1 Handling Inflation-Linked Bonds . 68
4.1.1 Revisiting Exposures. 68
4.1.2 Adjusting our Useful Approximation. 80
4.2 Handling Floating-Rate Notes. 84
4.3 Handling Fixed-Income Derivatives Contracts. 90
4.3.1 Interest-Rate Futures. 90
4.3.2 Bond Futures. 98
4.4 Closing Thoughts. 109
References. 109
Part II The Yield Curve
5 Fitting Yield Curves. 113
5.1 Getting Started. 114
5.2 Yield Curves 101. 117
5.2.1 Pure-Discount Bond Prices. 118
5.2.2 Spot Rates. 119
5.2.3 Par Yields. 120
5.2.4 Implied-Forward Rates. 124
5.2.5 Bringing It All Together. 126
5.3 Curve-Fitting. 128
5.3.1 The Classic Approach. 129
5.3.2 Non-Classical Approaches. 137
5.4 Concluding Thoughts. 148
References. 148
6 Modelling Yield Curves. 151
6.1 Why a Dynamic Yield-Curve Model?. 152
6.2 Building a Model. 159
6.2.1 c/| . 160
6.2.2 x/2 . 162
6.2.3 M . 166
6.2.4 Bringing it All Together. 167
6.3 A Statistical Digression. 168
6.4 Model Examples. 174
6.4.1 A Toy Example. 174
6.4.2 A Complex Example. 177
6.4.3 A Simpler Example. 184
6.5 Concluding Thoughts. 189
References. 190
Contents
XV
Part III Performance
7 Basic Performance Attribution. i 95
7.1 A Single Security. 200
7.1.1 Dealing with Cash-Flows. 201
7Л .2 Revisiting Our Risk-Factor Decomposition. 206
7.2 Attribution of a Single Fixed-Income Security. 208
7.2.1 Carry Return. 21 1
7.2.2 Credit-Spread Return. 215
7.2.3 Treasury-Curve Return. 215
7.2.4 Convexity Return. 226
7.2.5 Foreign-Exchange Return. 227
7.2.6 Pulling It All Together. 228
7.3 Attribution of a Fixed-Income Portfolio . 229
7.4 Closing Thoughts. 241
References. 241
8 Advanced Performance Attribution. 243
8.1 Truth in Advertising. 244
8.2 Daily Attribution. 246
8.3 A Simple Practical Example. 251
8.3.1 The Very Fine Print. 259
8.4 A Complicated Practical Example. 260
8.4.1 An Experiment. 260
8.4.2 Regression Analysis. 261
8.4.3 An Invented Measure. 264
8.4.4 Approximation Errors. 265
8.5 Some Frustrating Mathematical Facts. 267
8.6 Smoothing Returns. 271
8.7 Concluding Thoughts. 274
References. 274
9 Traditional Performance Attribution. 277
9.1 Asset Allocation and Security Selection. 278
9.2 The Roll-Down Effect. 288
9.3 Concluding Thoughts. 294
References. 294
Part IV Risk
10 Introducing Risk. 297
10.1 Defining Risk. 297
10.1.1 Determining Outcomes. 298
10.1.2 Assigning Probabilities. 299
10.1.3 Getting to Risk. 300
10.2 A Simple Example. 302
Contents
xvi
103 A More Complicated Example. 306
103.1 Enter the Distribution. 310
103.2 Relaxing Normality. 312
10.33 The Role of Dependence. 314
10.4 A Specific Risk Measure. 317
10.4.1 Looking Backwards. 319
10.4.2 Looking Forward. 321
10.43 Comparing Forward- and Backward-Looking
Perspectives. 324
10.5 Using Tracking Error. 326
10.6 Concluding Thoughts. 328
References. 329
11 Portfolio Risk. 331
11.1 The Punchline. 334
11.2 Getting Started. 336
11.2.1 Portfolio Weights. 337
11.2.2 Incorporating Risk-Factor Exposures. 340
11.2.3 Handling Market Movements. 343
11.2.4 Computing Return Distributions. 346
113 Understanding and Exploring £2r. 348
113.1 Variance 101 . 348
113.2 Linking Covariance and Correlation. 351
11.33 Classic and Alternative Estimators of í2r. 353
113.4 Simulating Random Realizations. 360
11.4 The Final Results. 366
11.5 Attributing Risk. 369
11.6 Concluding Thoughts. 380
References. 381
12 Exploring Uncertainty in Risk Measurement. 383
12.1 Sensitivity Analysis. 384
12.1.1 Setting the Stage. 385
12.1.2 The Data Frequency. 388
12.1.3 Weighting Scheme. 391
I2.L4 Role of Dependence. 397
12.1.5 Summing Up. 400
12.2 Backtesting. 401
12.2.1 A Heuristic Perspective . 402
12.2.2 A More Formal Perspective. 405
12.23 Thinking Optimally. 409
12.3 Concluding Thoughts. 416
References. 416
Contents xvii
Part V Risk and Performance
13 Combining Risk and Return. 419
13.1 The Data. 422
13.1.1 Understanding Our data. 423
13.2 Dampening Return Noise. 429
13.2.1 The Moving Average. 429
13.2.2 The Hodrick-Prescott Filter. 430
13.2.3 The Kernel Regression. 431
13.2.4 An Engineering Approach . 432
13.2.5 Model Comparison. 434
13.2.6 Implications of Filtering. 435
13.3 Combining Risk and Return. 437
13.3.1 Moving to the Risk-Factor Level . 441
13.4 So What?. 442
13.5 Concluding Thoughts. 444
References. 445
14 The Ex-Post World. 447
14.1 Basic Statistical Analysis. 448
14.2 Some Theory. 459
14.2.1 Introducing/? . 460
14.2.2 Introducing a . 463
14.2.3 a and f5. 465
14.3 Relative Risk . 467
14.4 Risk-Adjusted Ratios. 472
14.5 Beyond CAPM. 479
14.6 Bringing It All Together. 482
14.7 Concluding Thoughts. 483
References. 484
A Some Mathematical Background. 485
A.l Set Theory. 486
A.2 Probability. 487
A.2.1 Conditional Probability. 489
A.2.2 Independence. 491
A.3 Statistics . 491
A.3.1 Distributions and Densities. 492
A.3.2 Working with Distribution and Density Functions. 496
A.3.3 Some Sample Statistical Distributions. 497
A.3.4 Multivariate Statistics . 504
A.4 Matrix Theory. 508
A.4.1 Solving Linear Systems. 511
A.4.2 Cholesky Decomposition. 516
A.4.3 Eigenvalues and Eigenvectors. 518
References. 523
XVIII
Contents
B A Few Thoughts on Optimization. 525
B. 1 A Linear Program. 527
B.1.1 A Simple Case. 528
B.L2 Extending the Simple Case. 532
B.2 Concluding Thoughts. 533
References. 534
Index. 535
Author Index
541 |
| any_adam_object | 1 |
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| dewey-ones | 650 - Management and auxiliary services |
| dewey-raw | 650 |
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| discipline | Wirtschaftswissenschaften |
| format | Book |
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| spelling | Bolder, David Jamieson Verfasser (DE-588)17174697X aut Fixed-income portfolio analytics a practical guide to implementing, monitoring and understanding fixed-income portfolios David Jamieson Bolder Cham ; Heidelberg ; New York ; Dordrecht ; London Springer [2015] © 2015 xxvii, 544 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Wirtschaftslehre (DE-588)4079346-1 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf KJM Fixed Income Portfolio Analytics Yield Curve Risk Measurement Risk Attribution Performance Attribution Wirtschaftslehre (DE-588)4079346-1 s Finanzierung (DE-588)4017182-6 s Portfoliomanagement (DE-588)4115601-8 s 1\p DE-604 Erscheint auch als Online-Ausgabe 10.1007/978-3-319-12667-8 978-3-319-12667-8 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=4784747&prov=M&dok_var=1&dok_ext=htm Inhaltstext Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028107091&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Bolder, David Jamieson Fixed-income portfolio analytics a practical guide to implementing, monitoring and understanding fixed-income portfolios Portfoliomanagement (DE-588)4115601-8 gnd Wirtschaftslehre (DE-588)4079346-1 gnd Finanzierung (DE-588)4017182-6 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4079346-1 (DE-588)4017182-6 |
| title | Fixed-income portfolio analytics a practical guide to implementing, monitoring and understanding fixed-income portfolios |
| title_auth | Fixed-income portfolio analytics a practical guide to implementing, monitoring and understanding fixed-income portfolios |
| title_exact_search | Fixed-income portfolio analytics a practical guide to implementing, monitoring and understanding fixed-income portfolios |
| title_full | Fixed-income portfolio analytics a practical guide to implementing, monitoring and understanding fixed-income portfolios David Jamieson Bolder |
| title_fullStr | Fixed-income portfolio analytics a practical guide to implementing, monitoring and understanding fixed-income portfolios David Jamieson Bolder |
| title_full_unstemmed | Fixed-income portfolio analytics a practical guide to implementing, monitoring and understanding fixed-income portfolios David Jamieson Bolder |
| title_short | Fixed-income portfolio analytics |
| title_sort | fixed income portfolio analytics a practical guide to implementing monitoring and understanding fixed income portfolios |
| title_sub | a practical guide to implementing, monitoring and understanding fixed-income portfolios |
| topic | Portfoliomanagement (DE-588)4115601-8 gnd Wirtschaftslehre (DE-588)4079346-1 gnd Finanzierung (DE-588)4017182-6 gnd |
| topic_facet | Portfoliomanagement Wirtschaftslehre Finanzierung |
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