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Quantitative Management of Bond Portfolios

By: Dynkin, Lev Gould, Anthony Hyman, Jay Konstantinovsky, Vadim Phelps, Bruce

069120277X / 9780691202778
Paperback / softback
332.6323
26/05/2020
Published 26/05/2020
United States
156 x 235 mm 1000 pages, 150 line illus.
Professional & Vocational  Learn More Tertiary Education (US: College)

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.

BIC:

KFFH Corporate finance, KFFM Investment & securities

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