ISBN-10:
3030471578
ISBN-13:
9783030471576
Pub. Date:
09/21/2020
Publisher:
Springer International Publishing
Fixed Income Analytics: Bonds in High and Low Interest Rate Environments / Edition 2

Fixed Income Analytics: Bonds in High and Low Interest Rate Environments / Edition 2

by Wolfgang MartyWolfgang Marty

Hardcover

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Overview

This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution is analyzed and compared to different approaches proposed in the financial industry. The impact of different yield scenarios on a model bond portfolio is illustrated. Market and credit risk are introduced as independent sources of risk. Different concepts for assessing credit markets are described. Lastly, an overview of the benchmark industry is offered and an introduction to convertible bonds is given. This book is a valuable resource not only for students and researchers but also for professionals in the financial industry.


Product Details

ISBN-13: 9783030471576
Publisher: Springer International Publishing
Publication date: 09/21/2020
Edition description: 2nd ed. 2020
Pages: 226
Product dimensions: 6.10(w) x 9.25(h) x (d)

About the Author

Dr. Wolfgang Marty is Senior Investment Strategist at AgaNola Pfaeffikon, SZ, Switzerland. Between 1998 and 2015 he was working with Credit Suisse. He joined Credit Suisse Asset Management in 1998 as Head Product Engineering. He specializes in Performance Attribution, Portfolio Optimization and Fixed Income in general. Prior to joining Credit Suisse Asset Management, Marty worked for UBS AG in London, Chicago and Zurich. He started his career as an assistant for applied mathematics at the Swiss Federal Institute of Technology.

Marty holds a university degree in Mathematics from the Swiss Federal Institute of Technology in Zurich and a doctorate from the University of Zurich. He chairs the method and measure subcommittee of the European Bond Commission (EBC) and is president of the Swiss Bond Commission (OKS). Furthermore he is a member of the Fixed Income Index Commission at the Swiss Stock Exchange and a member of the Index team that monitors the Liquid Swiss Index (L

SI).

Table of Contents

Introduction.- The Time Value of Money.- The Flat Yield Curve Concept.- The Term Structure of Interest Rate.- Spread Analysis.- Different Fixed Income Instruments.- Fixed Income Benchmarks.- Convertible.- Appendix.



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