Modern multi-factor analysis of bond portfolios : critical implications for hedging and investing / edited by Giovanni Barone Adesi, Professor, Università della Svizzera Italiana, Switzerland and Nicola Carcano, Lecturer, Faculty of Economics, Università della Svizzera Italiana, Switzerland.
Where institutions and individuals averagely invest the majority of their assets in money-market and fixed-income instruments, interest rate risk management could be seen as the single most important global financial issue. However, the majority of the key techniques used by most investors were deve...
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| Other Authors: | , |
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| Format: | Ebook |
| Language: | English |
| Published: |
Houndmills, Basingstoke, Hampshire ; New York, NY :
Palgrave Macmillan,
[2016]
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| Series: | Palgrave pivot.
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| Subjects: | |
| Online Access: | Springer eBooks |
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| 245 | 0 | 0 | |a Modern multi-factor analysis of bond portfolios : |b critical implications for hedging and investing / |c edited by Giovanni Barone Adesi, Professor, Università della Svizzera Italiana, Switzerland and Nicola Carcano, Lecturer, Faculty of Economics, Università della Svizzera Italiana, Switzerland. |
| 264 | 1 | |a Houndmills, Basingstoke, Hampshire ; |a New York, NY : |b Palgrave Macmillan, |c [2016] | |
| 264 | 4 | |c ©2016 | |
| 300 | |a 1 online resource (xi, 124 pages) : |b charts. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 490 | 1 | |a Palgrave Pivot | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Introduction -- Adjusting principal component analysis for model errors / Nicola Carcano -- Alternative models for hedging yield curve risk : an empirical comparison / Nicola Carcano and Hakim Dallo -- Applying error-adjusted hedging to corporate bond portfolios / Giovanni Barone-Adesi, Nicola Carcano and Hakim Dallo -- Credit risk premium: measurement, interpretation & portfolio allocation / Radu Gabudean, Wok Yuen Ng and Bruce D. Phelps -- Conclusion / Giovanni Barone-Adesi and Nicola Carcano. | |
| 520 | |a Where institutions and individuals averagely invest the majority of their assets in money-market and fixed-income instruments, interest rate risk management could be seen as the single most important global financial issue. However, the majority of the key techniques used by most investors were developed several decades ago, and the advantages of multi-factor models are not fully recognised by many researchers and practitioners. This book provides clear and practical insight into bond portfolios and portfolio management through key empirical analysis. The authors use extensive sets of empirical data to describe the value potentially added by more recent techniques to manage interest rate risk relative to traditional techniques and to present empirical evidence of such an added value. Beginning with a description of the simplest models and moving on to the most complex, the authors offer key recommendations for the future of rate risk management. | ||
| 650 | 0 | |a Bond market. |9 328176 | |
| 650 | 0 | |a Bonds. |9 314712 | |
| 650 | 0 | |a Hedge funds. |9 328259 | |
| 650 | 0 | |a Investments. |9 319549 | |
| 650 | 0 | |a Portfolio management. |9 322594 | |
| 700 | 1 | |a Barone Adesi, Giovanni, |d 1951- |e editor. |9 445492 | |
| 700 | 1 | |a Carcano, Nicola, |d 1964- |e editor. |9 445493 | |
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| 830 | 0 | |a Palgrave pivot. |9 829659 | |
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