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Foreword
Acknowledgments
Preface
Audience
History of the Book
How This Book Is Different
Why This Book?
The Key Idea
Outline of the Book
Chapter 1 Risk and Total Return 1
Fixed Income Risk Factors 5
Different Ways of Measuring Risk 6
The "Big 4" Risk Factors for Active Fixed Income and Total Return 7
"Structural" Approach to Investing 11
Looking Back, Looking Forward 18
Chapter 2 Building Blocks 25
Option-Based Approach to Risk and Relative Value 25
Forward Pricing 31
Asset Swaps 44
Valuation Using Scenario Analysis 46
Betas: Risk Adjustment and Portfolio Aggregation 52
Chapter 3 Portfolio Structure 57
Understanding Carry 58
Understanding the Butterfly Strategy 62
Convexity and Time Decay 64
Extracting Risk Premium 68
Structural Value in Mortgage Rolls 74
Structural Value in Futures Contracts 79
Swaps and Structural Alpha 80
Structural Value in CDS Basis Trades 82
Mean Reversion: Structural Value of Direct Option Sales 84
Structural Value in Municipal Bonds 87
Volatility and Currency Carry Trades 89
Interaction of Foreign Exchange and Rates Markets 104
Caveat Emptor 107
Chapter 4 Macro Considerations 117
Macroeconomics of Model Building 119
Macro Drivers of Correlation Risk in Credit Markets 149
Risk Management with Macro Views: Forecasting Betas 160
New Macro: Modeling When the Government Is a Participant 167
Chapter 5 Replication 175
Leverage with Futures Contracts 175
Replication 176
Fixed Income ETFs 184
Chapter 6 Stress Testing and Tail Risk Management 189
Stress Testing 190
Tail Risk Management 210
The Behavior of Volatility 223
Chapter 7 Bonds in a Portfolio Setting 231
Asset Allocation 232
Equity Risks in Bond Portfolios 262
Portfolio Tail Risk 266
Holdings under Leverage Constraints 271
Epilogue 277
References 279
Index 283
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Add Bond Portfolio Investing and Risk Management, Excess returns or yields do not come without risk. Bond Portfolio Investing and Risk Management delves comprehensively, but intuitively, into the various risk factors and delivers the tools to understand, measure, control, and take advantage of risk p, Bond Portfolio Investing and Risk Management to the inventory that you are selling on WonderClubX
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Add Bond Portfolio Investing and Risk Management, Excess returns or yields do not come without risk. Bond Portfolio Investing and Risk Management delves comprehensively, but intuitively, into the various risk factors and delivers the tools to understand, measure, control, and take advantage of risk p, Bond Portfolio Investing and Risk Management to your collection on WonderClub |