The Resource Active Fixed Income and Credit Management, by Frank Hagenstein, Tim Bangemann
Active Fixed Income and Credit Management, by Frank Hagenstein, Tim Bangemann
Resource Information
The item Active Fixed Income and Credit Management, by Frank Hagenstein, Tim Bangemann represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Sydney Jones Library, University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item Active Fixed Income and Credit Management, by Frank Hagenstein, Tim Bangemann represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Sydney Jones Library, University of Liverpool.
This item is available to borrow from 1 library branch.
- Summary
- The authors provide the reader with an extensive tool set for active and successful management of fixed income portfolios as well as for credits. The focus of discussion is on quantitative and, for credits, qualitative methods of portfolio management. These strategies may be employed for portfolio diversification and in order to outperform the benchmark. Methods applicable for different risk factors - duration, yield curve, basis, volatility and credit management - are illustrated in detail using a top-down and bottom-up approach. Several examples are presented to show the practical relevance of the theoretical models and approach
- Language
- eng
- Extent
- 1 online resource (XVI, 230 pages 241 illustrations)
- Contents
-
- ACTIVE DIVERSIFICATION OF FIXED-INCOME PORTFOLIOS
- The Investment Process and Benchmark Selection
- Tactical Allocation and its Building Blocks
- Top-down Approach for a Euroland Portfolio
- DURATION MANAGEMENT
- Factors Influencing Duration Management
- Decision-Making Methods for Duration
- YIELD CURVE MANAGEMENT
- Market Directionality of Yield Curves
- Barbell Analysis
- Strips
- Rolldown Analysis
- Box Trade Analysis
- BASIS MANAGEMENT
- Cheapest-to-Deliver Analysis
- Delivery Option
- Calendar Spreads
- Portfolio Replication
- VOLATILITY MANAGEMENT
- Volatility and Yields
- Yield Volatility
- Option Risk Parameters
- Efficient Gamma Trading
- Options Markets and Economic Data Releases
- CREDIT MANAGEMENT
- Introduction
- Characteristics of Corporate Bonds
- The Top-Down Approach
- Merton's Approach to Evaluating a Corporate Bond
- Market Drivers of Credit Spreads
- Efficient Frontiers and the Sharpe Ratio
- Industry Selection
- The Bottom-Up Approach
- Indentures of Corporate Bonds
- Corporate Bonds and Defaults
- Isbn
- 9781280454691
- Label
- Active Fixed Income and Credit Management
- Title
- Active Fixed Income and Credit Management
- Statement of responsibility
- by Frank Hagenstein, Tim Bangemann
- Subject
-
- Business enterprises -- Finance
- Capital market
- Capital market
- Electronic books
- Finance
- Finance
- Information technology
- Information technology
- Investment banking
- Investment banking
- Risk management
- Risk management
- Securities
- Securities
- Business -- Data processing
- Business -- Data processing
- Business enterprises -- Finance
- Language
- eng
- Summary
- The authors provide the reader with an extensive tool set for active and successful management of fixed income portfolios as well as for credits. The focus of discussion is on quantitative and, for credits, qualitative methods of portfolio management. These strategies may be employed for portfolio diversification and in order to outperform the benchmark. Methods applicable for different risk factors - duration, yield curve, basis, volatility and credit management - are illustrated in detail using a top-down and bottom-up approach. Several examples are presented to show the practical relevance of the theoretical models and approach
- Cataloging source
- LEAUB
- http://library.link/vocab/creatorName
- Hagenstein, Frank
- Dewey number
- 332.6
- Illustrations
- illustrations
- Index
- no index present
- LC call number
- HG4529.5
- LC item number
- .H34 2002eb
- Literary form
- non fiction
- Nature of contents
- dictionaries
- http://library.link/vocab/relatedWorkOrContributorName
- Bangemann, Tim
- Series statement
- Finance and Capital Markets Series
- http://library.link/vocab/subjectName
-
- Finance
- Business enterprises
- Information technology
- Business
- Investment banking
- Securities
- Risk management
- Capital market
- Business
- Business enterprises
- Capital market
- Finance
- Information technology
- Investment banking
- Risk management
- Securities
- Label
- Active Fixed Income and Credit Management, by Frank Hagenstein, Tim Bangemann
- Antecedent source
- mixed
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Color
- not applicable
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- ACTIVE DIVERSIFICATION OF FIXED-INCOME PORTFOLIOS -- The Investment Process and Benchmark Selection -- Tactical Allocation and its Building Blocks -- Top-down Approach for a Euroland Portfolio -- DURATION MANAGEMENT -- Factors Influencing Duration Management -- Decision-Making Methods for Duration -- YIELD CURVE MANAGEMENT -- Market Directionality of Yield Curves -- Barbell Analysis -- Strips -- Rolldown Analysis -- Box Trade Analysis -- BASIS MANAGEMENT -- Cheapest-to-Deliver Analysis -- Delivery Option -- Calendar Spreads -- Portfolio Replication -- VOLATILITY MANAGEMENT -- Volatility and Yields -- Yield Volatility -- Option Risk Parameters -- Efficient Gamma Trading -- Options Markets and Economic Data Releases -- CREDIT MANAGEMENT -- Introduction -- Characteristics of Corporate Bonds -- The Top-Down Approach -- Merton's Approach to Evaluating a Corporate Bond -- Market Drivers of Credit Spreads -- Efficient Frontiers and the Sharpe Ratio -- Industry Selection -- The Bottom-Up Approach -- Indentures of Corporate Bonds -- Corporate Bonds and Defaults
- Control code
- on1086547438
- Dimensions
- unknown
- Extent
- 1 online resource (XVI, 230 pages 241 illustrations)
- File format
- multiple file formats
- Form of item
- online
- Isbn
- 9781280454691
- Level of compression
- uncompressed
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other control number
- 10.1057/9780230510494
- Other physical details
- online resource
- http://library.link/vocab/ext/overdrive/overdriveId
- 277641
- Quality assurance targets
- absent
- Reformatting quality
- access
- Specific material designation
- remote
- System control number
- (OCoLC)1086547438
- Label
- Active Fixed Income and Credit Management, by Frank Hagenstein, Tim Bangemann
- Antecedent source
- mixed
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Color
- not applicable
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- ACTIVE DIVERSIFICATION OF FIXED-INCOME PORTFOLIOS -- The Investment Process and Benchmark Selection -- Tactical Allocation and its Building Blocks -- Top-down Approach for a Euroland Portfolio -- DURATION MANAGEMENT -- Factors Influencing Duration Management -- Decision-Making Methods for Duration -- YIELD CURVE MANAGEMENT -- Market Directionality of Yield Curves -- Barbell Analysis -- Strips -- Rolldown Analysis -- Box Trade Analysis -- BASIS MANAGEMENT -- Cheapest-to-Deliver Analysis -- Delivery Option -- Calendar Spreads -- Portfolio Replication -- VOLATILITY MANAGEMENT -- Volatility and Yields -- Yield Volatility -- Option Risk Parameters -- Efficient Gamma Trading -- Options Markets and Economic Data Releases -- CREDIT MANAGEMENT -- Introduction -- Characteristics of Corporate Bonds -- The Top-Down Approach -- Merton's Approach to Evaluating a Corporate Bond -- Market Drivers of Credit Spreads -- Efficient Frontiers and the Sharpe Ratio -- Industry Selection -- The Bottom-Up Approach -- Indentures of Corporate Bonds -- Corporate Bonds and Defaults
- Control code
- on1086547438
- Dimensions
- unknown
- Extent
- 1 online resource (XVI, 230 pages 241 illustrations)
- File format
- multiple file formats
- Form of item
- online
- Isbn
- 9781280454691
- Level of compression
- uncompressed
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other control number
- 10.1057/9780230510494
- Other physical details
- online resource
- http://library.link/vocab/ext/overdrive/overdriveId
- 277641
- Quality assurance targets
- absent
- Reformatting quality
- access
- Specific material designation
- remote
- System control number
- (OCoLC)1086547438
Subject
- Business enterprises -- Finance
- Capital market
- Capital market
- Electronic books
- Finance
- Finance
- Information technology
- Information technology
- Investment banking
- Investment banking
- Risk management
- Risk management
- Securities
- Securities
- Business -- Data processing
- Business -- Data processing
- Business enterprises -- Finance
Genre
Member of
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/Active-Fixed-Income-and-Credit-Management-by/NNA-deO2Nss/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/Active-Fixed-Income-and-Credit-Management-by/NNA-deO2Nss/">Active Fixed Income and Credit Management, by Frank Hagenstein, Tim Bangemann</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">Sydney Jones Library, University of Liverpool</a></span></span></span></span></div>
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/Active-Fixed-Income-and-Credit-Management-by/NNA-deO2Nss/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/Active-Fixed-Income-and-Credit-Management-by/NNA-deO2Nss/">Active Fixed Income and Credit Management, by Frank Hagenstein, Tim Bangemann</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">Sydney Jones Library, University of Liverpool</a></span></span></span></span></div>
