Andrew Colin

Fixed Income Attribution (eBook, PDF)

• Format: PDF

Produktbeschreibung

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. Filled with insightful examples and expert advice, Fixed Income Attribution is the perfect source of information for those working in this complex environment.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 162
• Erscheinungstermin: 5. Mai 2005
• Englisch
• ISBN-13: 9780470013588
• Artikelnr.: 37289655

Autorenporträt

ANDREW COLIN is Fixed Income Research Director for the StatPro Group plc. He has previously worked or consulted for Citibank London, Zurich Investment Management, the Commonwealth Bank, Suncorp Metway, Chubb Security, Arthur Andersen, EDS, Alcatel and the Royal Australian Navy. Andrew is Adjunct Professor in the Faculty of Business at Queensland University of Technology, Brisbane, and holds a PhD in Mathematics from the University of St Andrews. His research interests include risk management and machine intelligence.

Inhaltsangabe

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.