UID:
almafu_9959328105002883
Format:
1 online resource (xiv, 143 pages) :
,
illustrations
ISBN:
0470013583
,
9780470013588
,
9781118673560
,
1118673565
Content:
Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void.℗¡ This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system.
Note:
Fixed Income Attribution; Contents; Preface; Acknowledgements; A Note on Notation; 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; 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.
Additional Edition:
Print version: California Newsreel (Firm). Fixed income attribution. Hoboken, NJ : Wiley, ©2005 ISBN 0470011750
Language:
English
Keywords:
Electronic books.
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Electronic books.
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Electronic books.
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Electronic books.
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Electronic books.
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Electronic books.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118673560
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118673560
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118673560
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