Fixed Income Attribution (The Wiley Finance Series) [Hardcover]

Andrew Colin (Author)

Book Description

ISBN-10: 0470011750 | ISBN-13: 978-0470011751 | Publication Date: March 21, 2005 | Edition: 1

Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void.  This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system. Filled with insightful examples and expert advice, Fixed Income Attribution is the perfect source of information for those working in this complex environment.

Editorial Reviews

From the Back Cover

Until now, fixed income attribution has been seen as a complex and mathematically demanding topic. Despite its interest to the investment community, there has been little information available on the subject beyond the occasional research paper and internal interest-group publication. Fixed Income Attribution fills this gap, by showing how to break down the returns on a fixed income portfolio by source of investment risk, in a clear, accessible style.

Fixed Income Attribution

• Explains for the first time the theory and practice of fixed income attribution in detail
• Shows how to reveal the effects of multiple investment decisions in fixed income portfolios, including yield return, term structure effects, credit and liquidity effects, and others
• Contains both theoretical and practical information about fixed income attribution, including the mathematics of attribution, yield curve modeling, practical limitations, benchmarks, presentation tools
• Includes all the information you need, gathered in one place

"In this book Andrew has shown he has a fundamental grasp of the problems and pitfalls associated with finxed income attribution.  He clearly presents a number of different approaches to a difficult problem and, quite rightly so in my opinion, does not set out to pretend that one method is any better or any worse than any other.  More of a recipe book than a prescription: it is up to the reader to decide which is most appropriate to their needs.  The style is easy to read, both with and without a detailed knowledge of maths.  This book deserves to take pride of place as an attribution reference."  Dr Paul Dentskevich, Senior Quantitative Analyst, Threadneedle Asset Management Ltd.

About the Author

ANDREW COLIN is Fixed Income Research Director for the StatPro Group plc. He has previously worked or consulted for Citibank London, Zurich Investment Management, the Commonwealth Bank, Suncorp Metway, Chubb Security, Arthur Andersen, EDS, Alcatel and the Royal Australian Navy.
Andrew is Adjunct Professor in the Faculty of Business at Queensland University of Technology, Brisbane, and holds a PhD in Mathematics from the University of St Andrews. His research interests include risk management and machine intelligence.

Product Details

• Hardcover: 162 pages
• Publisher: Wiley; 1 edition (March 21, 2005)
• Language: English
• ISBN-10: 0470011750
• ISBN-13: 978-0470011751
• Product Dimensions: 9.7 x 6.7 x 0.7 inches
• Shipping Weight: 1 pounds (View shipping rates and policies)
• Average Customer Review: 2.7 out of 5 stars  See all reviews (3 customer reviews)
• Amazon Best Sellers Rank: #509,494 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

1 of 1 people found the following review helpful:

2.0 out of 5 stars Not good, June 24, 2011

By 

dekunstruct - See all my reviews

This review is from: Fixed Income Attribution (The Wiley Finance Series) (Hardcover)

This is a superficial book which doesn't go into enough depth in fixed income attribution. Instead of filling pages and pages with pictures of different yield curves and outputs of different software to **display** the attribution results (chapter on "presentation" pp121-131), the author could have presented a few in-depth worked examples of how fixed income attribution can be done, from start to finish, for an example fixed income portfolio containing different assets (including government and corporate bonds), against a benchmark. That would have served as a reusable instructive tool. There is one worked example of perturbational attribution, which is for a single Treasury bond. This superficiality lacks any depth to equip one to do attribution on fixed income portfolios. It will not teach you how to do attribution for a portfolio against a benchmark where you have curve, sector allocation, security selection and other decisions.

1 of 1 people found the following review helpful:

2.0 out of 5 stars Expected more depth..., November 16, 2009

By 

J. Schmittmann (USA) - See all my reviews
(REAL NAME)   

Amazon Verified Purchase

This review is from: Fixed Income Attribution (The Wiley Finance Series) (Hardcover)

This book provides an overview and not more. In an attempt to address non-technical readers the author is very short on technical issues such as Nelson-Siegel yield curve approximation. However, to really undertstand these topics I had to consult other sources. Actually, I find the Wikipedia entry for "Fixed Income Attribution" as informative for getting an overview of the topic as this overpriced little book.

1 of 1 people found the following review helpful:

4.0 out of 5 stars Overview, August 3, 2007

By 

J. R. Schuhow "Hawkeye" (Connecticut) - See all my reviews
(REAL NAME)   

This review is from: Fixed Income Attribution (The Wiley Finance Series) (Hardcover)

Good overview of fixed income attribution. Discusses in general different attribution methodologies. I was hoping that the author would've discussed duration-based attribution in more detail. However, the purpose of my purchase was to get an overview of the topic which the author successfully achieved.