The Handbook of European Fixed Income Marketspresents extensive and in-depth coverage of every aspect of the European fixed income markets and their derivatives. This book will cover both developed markets such as the UK, France, Germany, Italy, Spain, and Holland, as well as emerging markets in Eastern Europe.
A comprehensive look at how probability and statistics is applied to the investment process Finance has become increasingly more quantitative, drawing on techniques in probability and statistics that many finance practitioners have not had exposure to before.
Praise for SYSTEMATIC INVESTING in CREDIT"Lev and QPS continue to shed light on the most important questions facing credit investors. This book focuses on their latest cutting-edge research into the appropriate role of credit as an asset class, the dynamics of credit benchmarks, and potential ways to benefit from equity information to construct effective credit portfolios. It is must-read material for all serious credit investors."--Richard Donick, President and Chief Risk Officer, DCI, LLC, USA"Lev Dynkin and his team continue to spoil us; this book is yet another example of intuitive, insightful, and pertinent research, which builds on the team's previous research. As such, the relationship with this team is one of the best lifetime learning experiences I have had."--Eduard van Gelderen, Chief Investment Officer, Public Sector Pension Investment Board, Canada"The rise of a systematic approach in credit is a logical extension of the market's evolution and long overdue. Barclays QPS team does a great job of presenting its latest research in a practical manner."--David Horowitz, Chief Executive Officer and Chief Investment Officer, Agilon Capital, USA"Systematization reduces human biases and wasteful reinventing of past solutions. It improves the chances of investing success. This book, by a team of experts, shows you the way. You will gain insights into the advanced methodologies of combining fundamental and market data. I recommend this book for all credit investors."--Lim Chow Kiat, Chief Executive Officer, GIC Asset Management, Singapore"For nearly two decades, QPS conducted extensive and sound research to help investors meet industry challenges. The proprietary research in this volume gives a global overview of cutting-edge developments in alpha generation for credit investors, from signal extraction and ESG considerations to portfolio implementation. The book blazes a trail for enhanced risk adjusted returns by exploring the cross-asset relation between stocks and bonds and adding relevant information for credit portfolio construction. Our core belief at Ostrum AM, is that a robust quantamental approach, yields superior investment outcomes. Indeed, this book is a valuable read for the savvy investor."--Ibrahima Kobar, CFA, Global Chief Investment Officer, Ostrum AM, France"This book offers a highly engaging account of the current work by the Barclays QPS Group. It is a fascinating mix of original ideas, rigorous analytical techniques, and fundamental insights informed by a long history of frontline work in this area. This is a must-read from the long-time leaders in the field."--Professor Leonid Kogan, Nippon Telephone and Telegraph Professor of Management and Finance, MIT"This book provides corporate bond portfolio managers with an abundance of relevant, comprehensive, data-driven research for the implementation of superior investment performance strategies."--Professor Stanley J. Kon, Editor, Journal of Fixed income"This book is a treasure trove for both pension investors and trustees seeking to improve performance through credit. It provides a wealth of empirical evidence to guide long-term allocation to credit, optimize portfolio construction and harvest returns from systematic credit factors. By extending their research to ESG ratings, the authors also provide timely insights in the expanding field of sustainable finance."--Eloy Lindeijer, former Chief of Investment Management, PGGM, Netherlands"Over more than a decade, Lev Dynkin and his QPS team has provided me and APG with numerous innovative insights in credit markets. Their work gave us valuable quantitative substantiation of some of our investment beliefs. This book covers new and under-researched areas of our markets, like ESG and factor investing, next to the rigorous and practical work akin to the earlier work of the group. I'd say read this book--and learn from one of the best."--Herman Slooijer, Managing Director, Head of Fixed Income, APG Asset Management, Netherlands
Asset-Backed Securities provides comprehensive coverage of the major asset-backed securities, structuring issues, and relative value analysis from the leading experts in the field. Comprehensive coverage includes the expanding frontiers of asset securitization, introduction to ABS accounting, trends in the structuring of ABSs, and prepayment nomenclature in the ABS market.
Interest rate volatility can wreak havoc with the balance sheets of institutional investors, traders, and corporations. In this important book, leading experts in the field discuss methods for measuring and hedging interest rate risk. The book covers basic techniques, as well as state-of-the-art applications. Specific topics include portfolio risk management, value-at-risk, yield curve risk, interest rate models, advanced risk measurements, interest rate swaps, and measuring and forecasting interest rate volatility.
The bond market is one of the largest and most important financial markets in the world. For professional investors, building and managing a portfolio of bonds to achieve above-market returns is a continual challenge. In Selected Topics in Bond Portfolio Management, leading experts discuss state-of-the-art strategies for managing indexed, corporate, high-yield, municipal, and global bond portfolios. Each chapter includes questions and answers to enhance the reader's understanding.
A handbook on the complexities of portfolio management. It includes findings from practitoners in the fixed income securities market and addresses interest rate risk, portfolios comprised of the major fixed income products and interest rate forecasting and modelling.
Every investment professional involved with the management of pension funds will embrace this wide-ranging handbook. Consisting of articles by an esteemed panel of contributors, it covers the basics as well as the latest on pension fund governance, operations, and value creation.
The authoritative resource for understanding and practicing valuation of both common fixed income investment vehicles and complex derivative instruments-now updated to cover valuing interest rate caps and floors.
Treasury securities represent the largest sector of interest rate markets. This book will provide securities newcomers with the tools they need to get up to speed and seasoned professionals with a valuable reference source. The book covers every aspect of the market, including: the basics, valuation techniques, risk analysis, and utilizing derivatives to control interest rate risk.
Revised and updated to reflect the latest developments in the field of cash flow analysis, Cash Flow and Security Analysis provides an enlightening examination into why cash flow is quickly replacing earnings as the primary tool used by securities analysts, and how they can identify undervalued securities by using cash flow analysis.
Credit Union Investment Management provides an in-depth examination of the methods executives use to achieve investment objectives and maximize returns on invested capital, while measuring and minimizing risk. Complete coverage includes: detailed features of investment vehicles, yield measures and their limitations, total return analysis, and stress testing.
The authors have done an admirable job...This book is a revealing and fascinating glimpse of the technologies which may rule the financial world in the years to come. --The Financial Times, February 1997 (This) new book looks at the progress made, both in practice and in theory, toward producing a usable model of the market. Some of the theoretical foundations of efficient market theory are being demolished.
Crucial methods, tactics and tools for successful pension fund managementAchieving Investment Excellence offers trustees and asset managers a comprehensive handbook for improving the quality of their investments. With a stated goal of substantially and sustainably improving annual returns, this book clarifies and demystifies important concepts surrounding trustee duties and responsibilities, investment strategies, analysis, evaluation and much more.Low interest rates are making the high cost of future pension payouts fraught with tension, even as the time and knowledge required to manage these funds appropriately increases -- it is no wonder that pensions are increasingly seen as a financial liability. Now more than ever, it is critical that trustees understand exactly what contributes to investment success -- and what detracts from it. This book details the roles, the tools and the strategies that make pension funds pay off.* Understand the role of pension funds and the fiduciary duty of trustees* Learn the tools and kills you need to build profound and lasting investment excellence* Analyse, diagnose and improve investment quality of funds using concrete tools and instruments* Study illustrative examples that demonstrate critical implementation and execution advicePacked with expert insight, crucial tools and real-life examples, this book is an important resource for those tasked with governing these. Achieving Investment Excellence provides the expert insight, clear guidance and key wisdom you need to manage these funds successfully.
Corporate Bonds: Structures & Analysis covers every aspect of corporate bonds, including bond structures, credit analysis, and investment strategies. This book discusses state-of-the-art technology for valuing corporate bonds, as well as innovative new products such as step-up notes and range notes. Complete with contributions from todays top financial experts, Corporate Bonds is the definitive reference for this vital market.
Market neutral strategies have gained attention for their potential to deliver positive returns regardless of the direction of underlying markets. As these strategies have built a record of good performance in recent years, they have attracted growing interest from both private and institutional investors.
Leveraged finance is an often discussed topic and includes coverage of loans, bonds, collateralized loan obligations, and portfolio credit products such as synthetics. This is a rich and comprehensive guide to the instruments financing most of corporate America (bonds and loans) and their derivatives.
To get the most success out of what the finance community regards as a risky business, short sellers need high--level information. The Theory and Practice of Short Selling offers managers and investors the information they need to maximize and enhance their short selling capabilities for bigger profits.
Investment Management for Insurers details all phases of the investment management process for insurers as well as fixed income instruments and derivatives and state-of-the-art analytical tools for valuing securities and measuring risk. Complete coverage includes: a general overview of issues, fixed income products, valuation, measuring and controlling interest rate risk, and equity portfolio management.
This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework.
Bayesian Methods in Finance explains and illustrates the foundations of the Bayesian methodology in clear and accessible terms. It provides a unified examination of the use of the Bayesian theory and practice to analyze and evaluate asset management.
In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.
Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives.
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