Fixed Income Attribution

Author: Andrew Colin
Publisher: John Wiley & Sons
ISBN: 9780470011751
Published In: January 2005
Format: Hardback , 162 pages
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

Out of stock

Description
Contents
Author

Details

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.

Preface.

Acknowledgements.

A Note on Notation.

PART I: CONCEPTS OF ATTRIBUTION.

1. Attribution in the Investment Process.

2. Calculation of Returns.

3. Simple Attribution.

4. Yield Curves in Attribution.

5. Interest Rate Risk and Portfolio Management.

6. Measuring Changes in Yield Curves.

7. Converting Yield Movements into Performance.

PART II: SOURCES OF ATTRIBUTION RETURN.

8. The Hierarchy of Fixed Income Returns.

9. Yield Return and Coupon Return.

10. Treasury Curve Return.

11. Roll Return.

12. Credit Return.

13. Optionality Return.

14. Asset Allocation Return.

15. Other Sources of Return.

16. Worked Examples.

PART III: FIXED INCOME ATTRIBUTION IN PRACTICE.

17. Implementing an Attribution System.

18. Fixed Income Benchmarks.

19. Presenting Attribution Results.

20. Beyond Fixed Income Attribution.

Appendix A: Derivation of the Normal Equations for a Least Squares Fit.

References.

Index.

ANDREW COLIN is Fixed Income Research Director for the StatPro Group plc. He has previously worked or consulted for Citibank London, Zurich Investment Management, the Commonwealth Bank, Suncorp Metway, Chubb Security, Arthur Andersen, EDS, Alcatel and the Royal Australian Navy.
Andrew is Adjunct Professor in the Faculty of Business at Queensland University of Technology, Brisbane, and holds a PhD in Mathematics from the University of St Andrews. His research interests include risk management and machine intelligence.