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Fixed Income Analytics: Bonds in High and Low Interest Rate Environments - Rilegato

Marty, Wolfgang

 
9783030471576: Fixed Income Analytics: Bonds in High and Low Interest Rate Environments
Rilegato
ISBN 10: 3030471578 ISBN 13: 9783030471576
Casa editrice: Springer Nature, 2020

Sinossi

This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated for negative and positive interest rates. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution is analysed and compared to different approaches proposed in the financial industry. The impact of different yield scenarios on a model bond portfolio is illustrated. Market and credit risk are introduced as independent sources of risk. Different concepts for assessing credit markets are described. Lastly, an overview of  the benchmark industry is offered and an introduction to convertible bonds is given. This second edition also includes a chapter on multi-currency portfolios as well as a discussion on currency hedging. This book is a valuable resource not only for students and researchers but also for professionals in the financial industry. 

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Informazioni sull'autore

Wolfgang Marty is a quantitative analyst of Financial Markets. He is president of the Swiss Bond Commission SFAA and a member of the Fixed Income Index Commission at the Swiss Stock Exchange. From 2016 to 2020 he was a Senior Investment Strategist at AgaNola Pfaeffikon, SZ, Switzerland. Between 1998 and 2015 he was working with Credit Suisse, where he started as Head Product Engineering. He specializes in Performance Attribution, Portfolio Optimization, and Fixed Income, in general. Prior to joining Credit Suisse Asset Management, Dr. Marty worked for UBS AG in London, Chicago, and Zurich.

He started his career as an assistant for applied mathematics at the Swiss Federal Institute of Technology, where he finished his university degree in Mathematics and a doctorate from the University of Zurich. He chaired the subcommittee of the European Bond Commission (EBC) and was a member of the Index team that monitors the Liquid Swiss Index (LSI).

Dalla quarta di copertina

This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated for negative and positive interest rates. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution is analysed and compared to different approaches proposed in the financial industry. The impact of different yield scenarios on a model bond portfolio is illustrated. Market and credit risk are introduced as independent sources of risk. Different concepts for assessing credit markets are described. Lastly, an overview of the benchmark industry is offered and an introduction to convertible bonds is given. This second edition also includes a chapter on multi-currency portfolios as well as a discussion on currency hedging. This book is a valuable resource not only for students and researchers but also for professionals in the financial industry.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer Nature
Data di pubblicazione
2020
Lingua
Inglese
ISBN 10 
3030471578
ISBN 13 
9783030471576
Rilegatura
Copertina rigida
Numero edizione
2
Numero di pagine
226
Contatto del produttore
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ProductSafety@springernature.com

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