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Fixed Income Attribution 1st Edition by Andrew Colin ISBN 0470013583 9780470013588

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Fixed income attribution 1st Edition Andrew Colin Digital Instant Download

Author(s): Andrew Colin
ISBN(s): 9780470013588, 0470013583
Edition: 1
File Details: PDF, 1.71 MB
Year: 2005
Language: english
SKU: EB-897824 Category: Tag:

Fixed Income Attribution 1st Edition by Andrew Colin – Ebook PDF Instant Download/Delivery: 0470013583, 9780470013588

Full download Fixed Income Attribution 1st Edition after payment

 

 

Product details:

ISBN 10: 0470013583

ISBN 13: 9780470013588

Author:  Andrew Colin 

Fixed Income Attribution 1st Edition : 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.

 

Fixed Income Attribution 1st Edition Table of contents:

Part I: Concepts of Attribution

  • Attribution in the investment process
  • Calculation of returns
  • Simple attribution
  • Yield curves in attribution
  • Interest rate risk and portfolio management
  • Measuring changes in yield curves
  • Converting yield movements into performance

Part II: Sources of Attribution Return

  • The hierarchy of fixed income returns
  • Yield return and coupon return
  • Treasury curve return
  • Roll return
  • Credit return
  • Optionality return
  • Asset allocation return
  • Other sources of return
  • Worked examples

Part III: Fixed Income Attribution in Practice

  • Implementing an attribution system
  • Fixed income benchmarks
  • Presenting attribution results
  • Beyond fixed income attribution

 

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