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Risk management approaches for fixed income markets Bennett W. Golub, Leo M. Tilman.

By: Golub, Bennett W.
Contributor(s): Tilman, Leo M, 1971-.
Series: Wiley frontiers in finance: New York Wiley 2000Description: xxiii, 312 páginas ilustrado 24 cm.ISBN: 0471332119.Subject(s): Fixed-income securities | Portfolio management | Administracion de riesgos | Administración de cartera (finanzas) | Valores de renta fija | Risk managementDDC classification: 332.63
Contents:
The Art and Science of Risk Management -- Parametric Approaches to Risk Management -- Modeling Yield Curve Dynamics -- Measuring Interest Rate, Basis, and Currency Risks -- Value-at-Risk Methodological Trade-Offs -- Using Portfolio Optimization Techniques to Manage Risk.
Review: "Written by two senior risk management practitioners of a global money management and risk advisory firm, this book utilizes a blend of finance, economics, mathematics, and common sense in applying financial modeling techniques to managing risk in fixed income markets.Summary: With a focus on both theoretical and practical considerations, a variety of existing and new approaches are brought together in a thorough but easy-to-understand fashion, including: interest rate and basis risk durations; scenario analysis; expected rate of return; principal components analysis; value-at-risk; stress testing; and portfolio and hedge optimizations."--BOOK JACKET.
List(s) this item appears in: Economia
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Item type Current location Collection Call number Copy number Status Date due Barcode Item holds
Libros Libros Biblioteca Central
General 332.63 / G629r (Browse shelf) Ej.1 Available 8000022231
Total holds: 0

Incluye referencias bibliográficas (p. 298-304) e índice.

Ch. 1. The Art and Science of Risk Management -- Ch. 2. Parametric Approaches to Risk Management -- Ch. 3. Modeling Yield Curve Dynamics -- Ch. 4. Measuring Interest Rate, Basis, and Currency Risks -- Ch. 5. Value-at-Risk Methodological Trade-Offs -- Ch. 6. Using Portfolio Optimization Techniques to Manage Risk.

"Written by two senior risk management practitioners of a global money management and risk advisory firm, this book utilizes a blend of finance, economics, mathematics, and common sense in applying financial modeling techniques to managing risk in fixed income markets.

With a focus on both theoretical and practical considerations, a variety of existing and new approaches are brought together in a thorough but easy-to-understand fashion, including: interest rate and basis risk durations; scenario analysis; expected rate of return; principal components analysis; value-at-risk; stress testing; and portfolio and hedge optimizations."--BOOK JACKET.

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