Fixed-Income Portfolio Analytics A Practical Guide to Implementing,
The book offers a detailed, robust, and consistent framework for the joint consideration of portfolio exposure, risk, and performance across a wide range of underlying fixed-income instruments and risk factors. Through extensive use of practical examples,
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Fixed-Income Portfolio Analytics A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios
Fixed-Income Portfolio Analytics
David Jamieson Bolder
Fixed-Income Portfolio Analytics A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios
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David Jamieson Bolder Bank for International Settlements Basel Switzerland
ISBN 978-3-319-12666-1 ISBN 978-3-319-12667-8 (eBook) DOI 10.1007/978-3-319-12667-8 Springer Cham Heidelberg New York Dordrecht London Library of Congress Control Number: 2015930328 © Springer International Publishing Switzerland 2015 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer International Publishing Switzerland is part of Springer Science+Business Media (www.springer.com)
À Nancy, la plus belle saison de ma vie
Foreword
Global fixed-income markets are enormous and growing. Trillions of dollars in numerous currencies are invested in these markets by a broad range of investors including pension funds, insurance companies, commercial banks, corporate treasuries, endowments, sovereign-wealth funds, and central-bank reserve managers. Each of these investors allocates significant resources towards evaluating, monitoring, and understanding the day-to-day exposures, performance, and risks associated with the underlying market risk factors found in
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