- Oktober 1997
129,- Euro
1997. 238 Seiten, Hardcover
ISBN-10: 1-883249-34-1
ISBN-13: 978-1-883249-34-2 - John Wiley & Sons

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Langtext
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.

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Preface.

1. An Empirical Analysis of Yield Curve Dynamics.

Fundamental Factors Driving the Evolution of the Yield Curve.

Going Beyond the Fundamentals: Nuances of the Yield Curve.

2. Term Structure Models: A Portfolio Manager's Guide.

Setting the Scene.

Basic Concepts of Interest Rate Option Models.

Relative Merits of Different Term Structure Models.

Option Models in Practice.

3. Quantitative Approaches to Inflation-Indexed Bonds.

Inflation-Indexed Bonds and Real Yields.

Inflation-Indexed Bonds in a Nominal Portfolio.

Advanced Analysis Approaches to Inflation-Indexed Bonds.

4. Long Bond Pricing Paradoxes and Long-Term Yields.

Analysis of the Convexity Bias.

Theorems about Very Long-Term Interest Rates.

A Very Long-Term Analysis of the Bond Market.

5. Prepayment Analysis and Prepayment Model Risk.

Prepayment Models: Goals, Construction, Fitting, Evaluation.

Prepayment Model Risk.

6. Measures of Non Yield Curve Risk and Risk/Return.

Setting the Scene: The Concept of OAS.

Advanced Risk Measures.

Relative Value Analysis for Mortgages.

Appendix: Default Risk and Default Spreads.

7. Risk Measurement and Performance Attribution.

Classifying Risk Measurement Tools.

Interpreting the Results of Performance Attribution.

Relating Different Frameworks for Performance Attribution.

Index.