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marty wolfgang - fixed income analytics

Fixed Income Analytics Bonds in High and Low Interest Rate Environments




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Dettagli

Genere:Libro
Lingua: Inglese
Editore:

Springer

Pubblicazione: 09/2020
Edizione: 2nd ed. 2020





Trama

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. 





Sommario

Introduction.- The Time Value of Money.- The Flat Yield Curve Concept.- The Internal Rate of Return for a Bond Portfolio.- The Term Structure of Interest Rate.- Spread Analysis.- Different Fixed Income Instruments.- Fixed-Income Benchmarks.- Convertible.- Multi Currency Portfolio.- Appendices.- References.- Index.







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).











Altre Informazioni

ISBN:

9783030471576

Condizione: Nuovo
Dimensioni: 235 x 155 mm Ø 541 gr
Formato: Copertina rigida
Illustration Notes:XXI, 226 p. 98 illus.
Pagine Arabe: 226
Pagine Romane: xxi


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