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.
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Book Description
Editorial Reviews
About the Author
Frank Hagenstein is Head of Credit Fund Management, Union-Investment, Germany. Timothy Bangemann is a Government Bond Trader, UBS Warburg, London.
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Most Helpful Customer Reviews
2 of 2 people found the following review helpful:
4.0 out of 5 stars
Outstanding and Innovative,
By A Customer
This review is from: Active Fixed Income and Credit Management (Hardcover)
This is an excellent book for those in the fixed income asset management world to get to grips with what managing credit risk is all about.As the market becomes more transparenet and increasingly liquid, more asset managers will need book slike this to provide them the initial knowledge on how to make and manage the right bets in their portfolios. I look forward to the next release which whould have more quantitative details around the credit markets.
1 of 1 people found the following review helpful:
4.0 out of 5 stars
diversification in fixed income portfolios,
This review is from: Active Fixed Income and Credit Management (Hardcover)
the book "fixed income and credit management" analyzes the interacting impact of different risk parameters and exposures on a fixed income portfolio, with special applications for euro and dollar investors.
1 of 4 people found the following review helpful:
1.0 out of 5 stars
Wow ! this is cheap !,
By A Customer
This review is from: Active Fixed Income and Credit Management (Hardcover)
I find the content of this book has already been written hundreds of times..not only in other financial books but also in scores of academic papers...true, it has been written by outstanding market participants, but that price !! ouch , that price !!
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Inside This Book
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First Sentence:
Portfolio management is a structured investment process which comprises the following sections: strategic asset allocation (fundamental, long-term perspective) Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
net basis position, delivery option value, par bond curve, implied equity volatility, credit spread curve, wing bonds, basis point volatility, positively sloping curve, theoretical futures price, credit curve, barbell types, deliverable basket, breakeven spread, equity market volatility, falling equity markets, implied repo rate, deliverable bonds, swap spreads, par curve, deliverables basket, basis point value, curve steepening, corporate benchmark, government benchmark, calendar spread Key Phrases - Capitalized Phrases (CAPs): (learn more)
Union Investment, Merrill Lynch, Deutsche Telekom, British Telecom, European High Yield, France Telecom, Germany Barbell, Lehman Brothers, Telecom Italia, Fair Futures Value, Sale Bund, The Sample New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Portfolio management is a structured investment process which comprises the following sections: strategic asset allocation (fundamental, long-term perspective) Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
net basis position, delivery option value, par bond curve, implied equity volatility, credit spread curve, wing bonds, basis point volatility, positively sloping curve, theoretical futures price, credit curve, barbell types, deliverable basket, breakeven spread, equity market volatility, falling equity markets, implied repo rate, deliverable bonds, swap spreads, par curve, deliverables basket, basis point value, curve steepening, corporate benchmark, government benchmark, calendar spread Key Phrases - Capitalized Phrases (CAPs): (learn more)
Union Investment, Merrill Lynch, Deutsche Telekom, British Telecom, European High Yield, France Telecom, Germany Barbell, Lehman Brothers, Telecom Italia, Fair Futures Value, Sale Bund, The Sample New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 16
books:
See all 16 books this book cites
- Smith Barney by Vault Reports on page 129
- The Handbook of Interest Rate Risk Management by Jack Clark Francis in Back Matter
- Fixed Income Mathematics by Frank J. Fabozzi in Back Matter
- Estimating and Interpreting the Yield Curve (Financial Economics and Quantitative Analysis Series) by Nicola Anderson in Back Matter
- Options Explained by Tompkins in Back Matter
See all 16 books this book cites
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