Quantitative Global Bond Portfolio Management
Quantitative Global Bond Portfolio Management

Author: Gueorgui S Konstantinov

Publisher: World Scientific

Published: 2023-10-06

Total Pages: 421

ISBN-13: 9811272581

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Quantitative Global Bond Portfolio Management offers a comprehensive discussion of quantitative modelling approaches to managing global bond and currency portfolios. Drawing on practitioner and academic research, as well as the extensive market experience of the authors, the book provides a timely overview of cutting-edge tools applied to the management of global bond portfolios, including in-depth discussions of factor models and optimization techniques. In addition to providing a solid theoretical foundation for global bond portfolio management, the authors focus on the practical implementation of yield curve and currency-driven approaches that can be successfully implemented in actual portfolios. As such, the book will be an indispensable resource to both new and seasoned investors looking to enhance their understanding of global bond markets and strategies.

Quantitative Management of Bond Portfolios
Quantitative Management of Bond Portfolios

Author: Lev Dynkin

Publisher: Princeton University Press

Published: 2020-05-26

Total Pages: 998

ISBN-13: 069120277X

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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.

Quantitative Global Bond Portfolio Management
Quantitative Global Bond Portfolio Management

Author: Georgi Konstantinov

Publisher: World Scientific Publishing Company

Published: 2023-06

Total Pages: 0

ISBN-13: 9789811272561

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"Quantitative Global Bond Portfolio Management offers a comprehensive discussion of quantitative modelling approaches to managing global bond and currency portfolios. Drawing on practitioner and academic research, as well as the extensive market experience of the authors, the book provides a timely overview of cutting-edge tools applied to the management of global bond portfolios, including in-depth discussions of factor models and optimization techniques. In addition to providing a solid theoretical foundation for global bond portfolio management, the authors focus on the practical implementation of yield curve and currency-driven approaches that can be successfully implemented to actual portfolios. As such, the book will be an indispensable resource to both new and seasoned investors looking to enhance their understanding of global bond markets and strategies"--

Quantitative Credit Portfolio Management
Quantitative Credit Portfolio Management

Author: Arik Ben Dor

Publisher: John Wiley & Sons

Published: 2011-11-08

Total Pages: 421

ISBN-13: 1118167422

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An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds—spread, liquidity, and Treasury yield curve risk—as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.

Bond Portfolio Investing and Risk Management
Bond Portfolio Investing and Risk Management

Author: Vineer Bhansali

Publisher: McGraw Hill Professional

Published: 2010-09-17

Total Pages: 321

ISBN-13: 0071713255

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Learn the fine art of risk measurement and control—from a senior member of PIMCO! Bond Portfolio Investing and Risk Management is designed for one purpose—to help you do the most important part of your job. A top player in the upper echelon of PIMCO, Vineer Bhansali understands the nuances and complexities of managing risk in fixed-income investing better than anyone. In this highly practical guide, he puts his years of experience and the latest research to work in order to help you contend with such issues as: Liquidity and stress risks Asset allocation Market anomalies Cross-market relationships Tail-risk measurement Cyclical returns Macroeconomic data Bond Portfolio Investing and Risk Management details the tools used to offset risk, including their advantages and drawbacks, and explains when to use each one. Bhansali provides practical investment techniques to give you a firm handle on the value and risk of a fixed-income instrument.

Advanced Bond Portfolio Management
Advanced Bond Portfolio Management

Author: Frank J. Fabozzi

Publisher: John Wiley & Sons

Published: 2006-03-08

Total Pages: 578

ISBN-13: 0471785768

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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.

Quantitative Management of Bond Portfolios
Quantitative Management of Bond Portfolios

Author: Lev Dynkin

Publisher: Princeton University Press

Published: 2020-05-26

Total Pages: 999

ISBN-13: 0691210616

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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.

Fixed Income Finance: A Quantitative Approach
Fixed Income Finance: A Quantitative Approach

Author: Mark Wise

Publisher: McGraw Hill Professional

Published: 2010-01-13

Total Pages: 258

ISBN-13: 0071763414

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A complete guide for professionals with advanced mathematical skills but little or no financial knowledge . . . You’re smart. Logical. Mathematically adept. One of those people who can make quick work of long, difficult equations. But when it comes to managing a financial portfolio and managing risk, you wonder if you’re missing out. Fixed Income Finance is the book for you. It’s the perfect introduction to the concepts, formulas, applications, and methodology, all derived from first principles, that you need to succeed in the world of quantitative finance—with a special emphasis on fixed incomes. Written by two of the sharpest analytical minds in their fields, this instructive guide takes you through the basics of fixed income finance, including many new and original results, to help you understand: Treasury Bonds and the Yield Curve The Macroeconomics behind Term Structure Models Structural Models for Corporate Bonds and Portfolio Diversification Options Fixed Income Derivatives Numerical Techniques Filled with step-by-step equations, clear and concise concepts, and ready-to-use formulas, this essential workbook bridges the gap between basic beginners’ primers and more advanced surveys to provide hands-on tools you can begin to use immediately. It’s all you need to put your math skills to work—and make the money work for you. Brilliantly researched, impeccably detailed, and thoroughly comprehensive, Fixed Income Finance is applied mathematics at its best and most useful.

Managing Credit Risk in Corporate Bond Portfolios
Managing Credit Risk in Corporate Bond Portfolios

Author: Srichander Ramaswamy

Publisher: John Wiley & Sons

Published: 2004-03-29

Total Pages: 256

ISBN-13: 0471488321

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Expert guidance on managing credit risk in bond portfolios Managing Credit Risk in Corporate Bond Portfolios shows readers howto measure and manage the risks of a corporate bond portfolioagainst its benchmark. This comprehensive guide explores a widerange of topics surrounding credit risk and bond portfolios,including the similarities and differences between corporate andgovernment bond portfolios, yield curve risk, default and creditmigration risk, Monte Carlo simulation techniques, and portfolioselection methods. Srichander Ramaswamy, PhD (Basel, Switzerland), is Head ofInvestment Analysis at the Bank for International Settlements (BIS)in Basel, Switzerland, and Adjunct Professor of Banking andFinance, University of Lausanne.

Modern Investment Management
Modern Investment Management

Author: Bob Litterman

Publisher: John Wiley & Sons

Published: 2004-11-19

Total Pages: 648

ISBN-13: 0471480657

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Dieser Band füllt eine echte Marktlücke. "Goldman Sach's Modern Investment" gibt eine Einführung in moderne Investment Management Verfahren, wie sie von Goldman Sachs Asset Management verwendet werden, um erstklassige Investitionsrenditen zu erzielen. Erläutert werden u.a. die moderne Portfoliotheorie (Portfoliodiversifikation zur Risikostreuung), Capital Asset Pricing (Verfahren zur Ermittlung des Risiko-Rendite-Austauschverhältnisses von Finanzanlagen, bei dem der unterschiedliche Risikogehalt von Finanztiteln berücksichtigt wird) sowie eine Reihe aktueller Themen wie z.B. strategische Portfoliostrukturierung, Risikobudgetierung und aktives Portfolio Management. Hier erhalten Sie die Mittel an die Hand, um die Goldman Sachs Asset Management Methode für sich selbst umzusetzen. Das von Fischer Black und Bob Litterman gemeinsam entwickelte Black-Litterman Asset Allocation Model gehört zu den angesehensten und meist verwendeten Modellen zur Portfoliostrukturierung. Litterman und seine Asset Management Group sind oft die treibende Kraft, wenn es um Portfoliostrukturierung und Investmententscheidungen der 100 international größten Pensionsfonds geht.