Download Active Fixed Income and Credit Management by F. Hagenstein, Tim Bangemann PDF

By F. Hagenstein, Tim Bangemann

The authors give you the reader with an intensive software set for lively and winning administration of mounted source of revenue portfolios in addition to for credit. the point of interest of debate is on quantitative and, for credit, qualitative equipment of portfolio administration. those recommendations can be hired for portfolio diversification and with a view to outperform the benchmark. equipment appropriate for various probability elements - length, yield curve, foundation, volatility and credits administration - are illustrated intimately utilizing a top-down and bottom-up procedure. a number of examples are awarded to teach the sensible relevance of the theoretical versions and technique.

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For example, suppose the weighting of the body bond is fixed at 100m nominal. The two equations for the type (a) barbell can then be rearranged to read: NL = (PC • NC • DC − PS • NS • DS) / (PL • DL) (duration-neutral) NL = (NC • PC − NS • PS) / PL (cash-neutral) Substitution of NL gives: NS = NC • (PC / PS) • ((DL − DC) / (DL − DS)) and NS can immediately be calculated for a given weighting NC. By insertion into one of the above equations, one can then determine the third weighting, NL. The weightings for all different barbell types can be determined in the same way.

Therefore, in the case of a flat curve the theoretical zero curve is identical to that of the theoretical par curve. An inverted curve The theoretical zero curve has to lie below that of the par curve, as the yield of the bond is impacted by the facts that the investor receives coupon payments before maturity and the discount factors for these coupon payments are higher, when the nominal amount of the bond is paid out, than at maturity. Additionally, the spread between zero-coupon bond yields and coupon-bearing bond yields should increase negatively, so zero-coupon bonds will always have a lower yield compared with conventional bonds.

A high level of confidence results in extreme ‘bets’ made by applying instruments with large leverage effects (options). 3). In general, weak economic growth, low inflation, decreasing volatility (see Chapter 5), government-bond buybacks and an expansive monetary policy support a positive environment for bond markets. 1 Duration Duration can be interpreted as the average length of time that a bond investment is outstanding (the weighted average term to maturity of a stream of cash flows, with the weights being the fraction of total value represented by each cash flow): it is thus a measure of interest-rate risk.

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