Coverart for item
The Resource Quantitative management of bond portfolios, Lev Dynkin ... [and others]

Quantitative management of bond portfolios, Lev Dynkin ... [and others]

Label
Quantitative management of bond portfolios
Title
Quantitative management of bond portfolios
Statement of responsibility
Lev Dynkin ... [and others]
Contributor
Subject
Language
eng
Member of
Cataloging source
IT-FiEUI
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1957-
http://library.link/vocab/relatedWorkOrContributorName
Dynkin, Lev
Series statement
Advances in financial engineering
http://library.link/vocab/subjectName
  • Bonds
  • Portfolio management
Label
Quantitative management of bond portfolios, Lev Dynkin ... [and others]
Link
http://www.loc.gov/catdir/enhancements/fy0654/2006016995-b.html
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
  • Value of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed-income investing -- Cost of the no-leverage constraint in duration timing : index replication -- Replicating the Lehman Brothers U.S. aggregate index with liquid instruments -- Replicating the Lehman Brothers global aggregate index with liquid instruments -- Tradable proxy portfolios for the Lehman Brothers MBS index -- High-yield index replication -- CMBS index replication : benchmark customization -- Evaluating performance of long-horizon portfolios -- Liability-based benchmarks -- Swap indices -- Benchmarks for asset swapped portfolios -- Issuer-capped and downgrade-tolerant U.S. corporate indices : managing credit portfolios -- Sufficient diversification in credit portfolios -- Return performance of investment-grade bonds after distress -- Optimal credit allocation for buy-and-hold investors -- A
  • quick look at index tails -- Are credit markets globally integrated? : managing mortgage portfolios -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons : managing central bank reserves -- Total return management of central bank reserves -- The
  • prospects of negative annual total returns in short-duration treasury benchmarks -- Effect of security selection skill on optimal sector allocation -- Risk budget allocation to issuer and sector views -- Multifactor risk modeling and performance attribution -- The
  • global risk model : a portfolio manager's guide -- The
  • hybrid performance attribution model -- Insights on duration and convexity -- Portfolio yields and durations -- Computing excess return of spread securities -- Currency-hedged returns in fixed-income indices -- The
  • bund-treasury trade in portfolios -- Empirical duration of credit securities -- Duration times spread : a new measure of spread risk for credit securities -- Hedging debt with equity
  • Value of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed income investing -- Cost of the no-leverage constraint in duration timing : index replication -- Replicating the Lehman Brothers U.S. aggregate index with liquid instruments -- Replicating the Lehman Brothers global aggregate index with liquid instruments -- Tradable proxy portfolios for the Lehman Brothers MBS index -- High-yield index replication -- CMBS index replication : benchmark customization -- Evaluating performance of long-horizon portfolios -- Liability-based benchmarks -- Swap indices -- Benchmarks for asset swapped portfolios -- Issuer-capped and downgrade-tolerant U.S. corporate indices : strategies for managing credit portfolios -- Sufficient diversification in credit portfolios -- Return performance of investment-grade bonds after distress -- Optimal credit allocation for buy-and-hold investors -- A
  • quick look at index tails -- Are credit markets globally integrated? : strategies for managing mortgage portfolios -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons : strategies for managing central bank reserves -- Total return management of central bank reserves -- The
  • prospects of negative annual total returns in short duration treasury benchmarks -- Effect of security selection skill on optimal sector allocation -- Risk budget allocation to issuer and sector views -- Multi-factor risk modeling and performance attribution -- The
  • global risk model : a portfolio manager's guide -- The
  • hybrid performance attribution model -- Insights on duration and convexity -- Portfolio yields and durations -- Computing excess return of spread securities -- Currency hedging in fixed income portfolios -- The
  • bund-treasury trade in portfolios -- Empirical duration of credit securities -- DTS (duration times spread) : a new measure of spread risk for credit securities -- Hedging debt with equity
Control code
FIEb13436521
Dimensions
25 cm.
Extent
xix, 978 pages
Isbn
9780691128313
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)70060959
Label
Quantitative management of bond portfolios, Lev Dynkin ... [and others]
Link
http://www.loc.gov/catdir/enhancements/fy0654/2006016995-b.html
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
  • Value of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed-income investing -- Cost of the no-leverage constraint in duration timing : index replication -- Replicating the Lehman Brothers U.S. aggregate index with liquid instruments -- Replicating the Lehman Brothers global aggregate index with liquid instruments -- Tradable proxy portfolios for the Lehman Brothers MBS index -- High-yield index replication -- CMBS index replication : benchmark customization -- Evaluating performance of long-horizon portfolios -- Liability-based benchmarks -- Swap indices -- Benchmarks for asset swapped portfolios -- Issuer-capped and downgrade-tolerant U.S. corporate indices : managing credit portfolios -- Sufficient diversification in credit portfolios -- Return performance of investment-grade bonds after distress -- Optimal credit allocation for buy-and-hold investors -- A
  • quick look at index tails -- Are credit markets globally integrated? : managing mortgage portfolios -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons : managing central bank reserves -- Total return management of central bank reserves -- The
  • prospects of negative annual total returns in short-duration treasury benchmarks -- Effect of security selection skill on optimal sector allocation -- Risk budget allocation to issuer and sector views -- Multifactor risk modeling and performance attribution -- The
  • global risk model : a portfolio manager's guide -- The
  • hybrid performance attribution model -- Insights on duration and convexity -- Portfolio yields and durations -- Computing excess return of spread securities -- Currency-hedged returns in fixed-income indices -- The
  • bund-treasury trade in portfolios -- Empirical duration of credit securities -- Duration times spread : a new measure of spread risk for credit securities -- Hedging debt with equity
  • Value of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed income investing -- Cost of the no-leverage constraint in duration timing : index replication -- Replicating the Lehman Brothers U.S. aggregate index with liquid instruments -- Replicating the Lehman Brothers global aggregate index with liquid instruments -- Tradable proxy portfolios for the Lehman Brothers MBS index -- High-yield index replication -- CMBS index replication : benchmark customization -- Evaluating performance of long-horizon portfolios -- Liability-based benchmarks -- Swap indices -- Benchmarks for asset swapped portfolios -- Issuer-capped and downgrade-tolerant U.S. corporate indices : strategies for managing credit portfolios -- Sufficient diversification in credit portfolios -- Return performance of investment-grade bonds after distress -- Optimal credit allocation for buy-and-hold investors -- A
  • quick look at index tails -- Are credit markets globally integrated? : strategies for managing mortgage portfolios -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons : strategies for managing central bank reserves -- Total return management of central bank reserves -- The
  • prospects of negative annual total returns in short duration treasury benchmarks -- Effect of security selection skill on optimal sector allocation -- Risk budget allocation to issuer and sector views -- Multi-factor risk modeling and performance attribution -- The
  • global risk model : a portfolio manager's guide -- The
  • hybrid performance attribution model -- Insights on duration and convexity -- Portfolio yields and durations -- Computing excess return of spread securities -- Currency hedging in fixed income portfolios -- The
  • bund-treasury trade in portfolios -- Empirical duration of credit securities -- DTS (duration times spread) : a new measure of spread risk for credit securities -- Hedging debt with equity
Control code
FIEb13436521
Dimensions
25 cm.
Extent
xix, 978 pages
Isbn
9780691128313
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)70060959

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