Average Reviews:
(More customer reviews)A very interesting book covering most modern issues in Fixed Income risk management. This book represents a rich experience that the authors got in finance and especially in mamanging risk of bond (and similar instruments) portfolio.
I especiallly like the expalnations of partial duration and key rate versus principal components analisys.
The book is technical and oriented towards people implementing modern risk management based on the P&L probability distribution.
I have also learned a few interesting ways of how to communicate quantative results of risk analysis to portfolio managers.
Monte Carlo methods are explained in brief and probably will not satisfy an experience user.
Various option adjusted spread methods are explained very nicely. Benchmark approach is another topic that is well expalined in this book.
I am going to use this book for teaching a Risk Management course (MBA).
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