By F. Hagenstein, Tim Bangemann
The authors give you the reader with an intensive software set for lively and profitable administration of fastened source of revenue portfolios in addition to for credit. the point of interest of dialogue is on quantitative and, for credit, qualitative equipment of portfolio administration. those concepts should be hired for portfolio diversification and with a purpose to outperform the benchmark. tools acceptable for various hazard components - period, yield curve, foundation, volatility and credits administration - are illustrated intimately utilizing a top-down and bottom-up strategy. numerous examples are provided to teach the sensible relevance of the theoretical versions and process.
Read or Download Active Fixed Income and Credit Management PDF
Best risk management books
I've got used this booklet as a textual content for a graduate point monetary chance administration direction, in instruction for the GARP FRM examination (which I passed), and as a reference professionally. The guide can provide precisely what it says it is going to, and serves as an outstanding primer earlier than entering into the heavier, extra specified assigned readings (this isn't an assigned analyzing for the FRM examination, brain you).
Compliment for COSO company possibility Management"COSO ERM is a considerate advent to the demanding situations of possibility administration on the firm point and includes a wealth of data on facing it by using the COSO framework. designated tactics overlaying a large choice of occasions are by means of an intensive clarification of the way each one is deployed.
Among them, the well known workforce of editors and authors have collected exceptional event at such institutes as BAM, PTB, Pittsburgh nationwide Institute for Occupational future health and safeguard, BASF AG, and the college of Göttingen. during this work-the first of its variety for 35 years-they describe intimately these measures that hinder or restrict business explosions and the wear and tear so triggered.
Some time past years, the realm has skilled how unsound financial practices can disrupt worldwide monetary and social order. Today’s risky worldwide monetary scenario highlights the significance of handling probability and the implications of negative determination making. The Doom Loop within the monetary quarter finds an underlying paradox of danger administration: the higher we develop into at assessing hazards, the extra we suppose cozy taking them.
- Surveillance Technologies and Early Warning Systems: Data Mining Applications for Risk Detection
- Asset & Risk Management
- Risk Management in Medicine
- Against the Gods: The Remarkable Story of Risk
Additional resources for Active Fixed Income and Credit Management
6 2y–5y–10y DEM/EUR swaps barbell: positive (negative) spread indicates 5y are cheap (expensive) Source: CSFB Germany: 5s - average 2s and 10s vs. 7 2y–5y–10y barbell vs. 10y yields: a certain market directionality is apparent (the increase in 10y yields leads to increased curvature): June 1998–July 2000 Source: CSFB 10y yld ld volat l Butterﬂy ﬂ 2–5–10 ((SBS)) 25 15 20 10 % 5 5y underperf. 20 15 10 5 Sep–99 Dec–99 Mar–00 Jun–00 Sep–00 Dec–00 Mar–01 – 5 – 10 – 15 5y outperf. 6).
This means that a bond increases in value more as yields decrease, compared with the loss in value as yields increase. Convexity is therefore a desirable characteristic. Strips allow for the construction of strategies for given maturities with higher convexity than is possible using only conventional bonds. Strips can therefore proﬁt from high volatility. This statement is true even though the convexity of strips is lower than the convexity of conventional bonds with the same duration, since a duration-neutral switch requires a larger amount of strips.
The pick-up for the cash-neutral barbell is greater. This feature should not lead to a preference in favour of the cash-neutral barbell rather than the twist-neutral barbell. The reason for the better pick-up stems from the fact that the cash-neutral barbell has a greater weighting in the 10-year bond. For a positively sloping curve it is true to say that a higher weighting in the 10-year issue than in the 2-year issue leads to a greater yield pick-up for the 2y–5y–10y barbell. Simultaneously this also means that the increasing weighting in the 5y–10y leg of the barbell incorporates a stronger curve-ﬂattening position, which would lose value in a curve-steepening scenario.