Active Fixed Income and Credit Management |
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Author:
| Hagenstein, F. Bangemann, T. |
Series title: | Finance and Capital Markets Ser. |
ISBN: | 978-1-349-43219-6 |
Publication Date: | Jan 2002 |
Publisher: | Palgrave Macmillan Limited
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Imprint: | Palgrave Macmillan |
Book Format: | Paperback |
List Price: | USD $449.99 |
Book Description:
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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...
More DescriptionThe 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.