Active Fixed Income and Credit Management

The authors provide the reader with an extensive tool set for active and successful management of fixed income portfolios as well as for credits. The focus of discussion is on quantitative and, for credits, qualitative methods of portfolio management. These strategies may be employed for portfolio diversification and in order to outperform the benchmark. Methods applicable for different risk factors - duration, yield curve, basis, volatility and credit management - are illustrated in detail using a top-down and bottom-up approach. Several examples are presented to show the practical relevance of the theoretical models and approach.

Author: F. Hagenstein, Tim Bangemann
Publisher: Palgrave MacMillan
Published: 04/15/2002
Pages: 230
Binding Type: Hardcover
Weight: 1.12lbs
Size: 9.72h x 6.08w x 0.73d
ISBN: 9780333993682

About the Author
FRANK HAGENSTEIN is Head of Credit Fund Management at Union-Investment, Germany.

DR. TIM BANGEMANN is a Government Bond Trader at UBS Warburg, London.

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