Andrew Colin
Fixed Income Attribution
Gebonden Engels 2005 1e druk 9780470011751Levertijd ongeveer 8 werkdagen
Gratis verzonden
Specificaties
ISBN13:9780470011751
Trefwoorden:financieel management
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:143
Uitgever:John Wiley & Sons
Druk:1
Hoofdrubriek:Financieel management
Lezersrecensies
Wees de eerste die een lezersrecensie schrijft!
Inhoudsopgave
Preface.
Acknowledgements.
A Note on Notation.
PART I: CONCEPTS OF ATTRIBUTION.
1. Attribution in the Investment Process.
2. Calculation of returns
3. Simple Attribution.
4. Yield Curves in Attribution.
5. Interest Rate Risk and Portfolio Management.
6. Measuring Changes in Yield Curves.
7. Converting Yield Movements into Performance.
PART II: SOURCES OF ATTRIBUTION RETURN.
8. The Hierarchy of Fixed Income Returns.
9. Yield Return and Coupon Return.
10. Treasury Curve Return.
11. Roll Return.
12. Credit Return.
13. Optionality Return.
14. Asset Allocation Return.
15. Other Sources of Return.
16. Worked Examples.
PART III: FIXED INCOME ATTRIBUTION IN PRACTICE.
17. Implementing an Attribution System.
18. Fixed Income Benchmarks.
19. Presenting Attribution Results.
20. Beyond Fixed Income Attribution.
Appendix A: Derivation of the Normal Equations for a Least Squares Fit.
References.
Index.
Acknowledgements.
A Note on Notation.
PART I: CONCEPTS OF ATTRIBUTION.
1. Attribution in the Investment Process.
2. Calculation of returns
3. Simple Attribution.
4. Yield Curves in Attribution.
5. Interest Rate Risk and Portfolio Management.
6. Measuring Changes in Yield Curves.
7. Converting Yield Movements into Performance.
PART II: SOURCES OF ATTRIBUTION RETURN.
8. The Hierarchy of Fixed Income Returns.
9. Yield Return and Coupon Return.
10. Treasury Curve Return.
11. Roll Return.
12. Credit Return.
13. Optionality Return.
14. Asset Allocation Return.
15. Other Sources of Return.
16. Worked Examples.
PART III: FIXED INCOME ATTRIBUTION IN PRACTICE.
17. Implementing an Attribution System.
18. Fixed Income Benchmarks.
19. Presenting Attribution Results.
20. Beyond Fixed Income Attribution.
Appendix A: Derivation of the Normal Equations for a Least Squares Fit.
References.
Index.
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