Advanced Fixed Income Analytics
Frank J. Fabozzi Series
1. Auflage Oktober 1997
238 Seiten, Hardcover
Wiley & Sons Ltd
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.
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.
