Download or read book An Alternative Analysis of Bond Risk written by John Byron Silvers and published by . This book was released on 1971 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bond Risk Analysis written by Livingston G. Douglas and published by Prentice Hall. This book was released on 1990 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Risk Analysis written by Gregory Connor and published by Princeton University Press. This book was released on 2010-03-15 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
Download or read book Alternative Investments A Primer for Investment Professionals written by Donald R. Chambers and published by CFA Institute Research Foundation. This book was released on 2018 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A factor analysis of bond risk premia written by Sydney C. Ludvigson and published by . This book was released on 2009 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the macro economy. Using a panel of 131 monthly macroeconomic time series for the sample 1964:1-2007:12, we estimate 8 static factors by the method of asymptotic principal components. We also use Gibb sampling to estimate dynamic factors from the 131 series reorganized into 8 blocks. Regardless of how the factors are estimated, macroeconomic factors are found to have statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of factor augmented regressions can be obtained. This bias is numerically trivial in our application. The predictive power of real activity for excess bond returns is robust even after accounting for finite sample inference problems. Forecasts of excess bond returns (or bond risk premia) are countercyclical. This implies that investors are compensated for risks associated with recessions.
Download or read book Risk and Reliability Analysis Theory and Applications written by Paolo Gardoni and published by Springer. This book was released on 2017-02-24 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a unique collection of contributions from some of the foremost scholars in the field of risk and reliability analysis. Combining the most advanced analysis techniques with practical applications, it is one of the most comprehensive and up-to-date books available on risk-based engineering. All the fundamental concepts needed to conduct risk and reliability assessments are covered in detail, providing readers with a sound understanding of the field and making the book a powerful tool for students and researchers alike. This book was prepared in honor of Professor Armen Der Kiureghian, one of the fathers of modern risk and reliability analysis.
Download or read book Corporate bond risk and real activity written by Jorge A. Chan-Lau and published by . This book was released on 2001 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Analysis of Bond Risk Premia written by Lukas Wäger and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this thesis is on bond return predictability and providing an empirical and economic understanding of bond risk premia. The thesis consists of an empirical analysis of time-varying bond risk premia along three major branches of the current term structure literature, namely yields-only, macro-finance and multi-currency term structure models. All these models belong to the well-known class of affine models introduced by Ang and Piazzesi (2003), whereas the latter two embed unspanned factors. Unspanned factors are state variables that have an effect on bond risk premia but do not span the cross-section of yields, as recently introduced by Duffee (2011), Joslin, Priebsch and Singleton (2011) and Boos (2011). The section concerning yields-only models contributes by providing evidence of three priced risk premia of bonds in the US market, extending the analysis of Cochrane and Piazzesi (2005) and Boos (2011). The section concerning macrofinance models adds to the new branch of models with unspanned macro factors and extends existing research by analyzing the effects of unspanned macro factors on risk premia beyond the level risk premium and extending into a broader and longer data set of macroeconomic variables. The section concerning multi-currency models firstly introduces unspanned factors into international models by taking mutually unspanned latent yield curve factors of domestic and foreign countries as state variables. The information in foreign yield curves is found to be partly unspanned by the domestic yield curve and improves bond return predictability beyond local models.
Download or read book Tax Free Income written by Innoware Pjp and published by Independently Published. This book was released on 2023-06-12 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tax-Free Income: A Comprehensive Guide to Investing in Municipal Bonds Municipal bonds are a type of debt security issued by state and local governments in order to finance public projects such as infrastructure, schools, and hospitals. Municipal bonds are typically exempt from federal income taxes, and may also be exempt from state and local taxes for investors who reside in the state where the bonds are issued. The book covers the following: Chapter 1: Introduction to Municipal Bonds 1.1 What Are Municipal Bonds? 1.2 Advantages and Benefits of Municipal Bonds 1.3 Different Types of Municipal Bonds 1.4 Role of Municipal Bonds in Public Finance 1.5 Understanding the Municipal Bond Market Chapter 2: The Basics of Bond Investing 2.1 Bond Basics: Definitions and Key Concepts 2.2 How Bonds Work: Issuers, Coupon Rates, and Maturity 2.3 Risks and Rewards of Investing in Bonds 2.4 Factors Affecting Bond Prices and Yields 2.5 Diversification and Asset Allocation Strategies Chapter 3: Understanding Municipal Bond Credit Ratings 3.1 Importance of Credit Ratings in Municipal Bonds 3.2 Credit Rating Agencies and Their Methodologies 3.3 Evaluating Bond Creditworthiness and Risk 3.4 Impact of Credit Ratings on Bond Prices and Yields 3.5 Monitoring and Assessing Credit Ratings Changes for Bonds Chapter 4: Assessing Municipal Bond Market Conditions 4.1 Overview of the Municipal Bond Market 4.2 Market Participants in Municipal Bond Market: Issuers, Underwriters, and Investors 4.3 Analyzing Supply and Demand Factors in Municipal Bond Market 4.4 Interest Rate Environment and Yield Curve Analysis 4.5 Tracking Market Indicators and Economic Data for Municipal Bond Investing Chapter 5: Investing in General Obligation Bonds 5.1 Introduction to General Obligation (GO) Bonds 5.2 Understanding GO Bond Structures and Security 5.3 Analyzing GO Bond Repayment Sources 5.4 Assessing Risks and Creditworthiness of GO Bonds 5.5 Case Studies and Examples of GO Bond Investments Chapter 6: Investing in Revenue Bonds 6.1 Introduction to Revenue Bonds 6.2 Types of Revenue Bonds: Essential Service and Non-Essential Service 6.3 Evaluating Revenue Sources and Debt Service Coverage 6.4 Analyzing Revenue Bond Covenants and Security 6.5 Case Studies and Examples of Revenue Bond Investments Chapter 7: Tax Considerations for Municipal Bond Investors 7.1 Tax Benefits of Municipal Bonds 7.2 Understanding Tax-Exempt and Taxable Municipal Bonds 7.3 Impact of Tax Bracket on Bond Yield Calculation 7.4 Evaluating Alternative Minimum Tax (AMT) Risks for Municipal Bond Investors 7.5 Tax Reporting and Compliance for Municipal Bond Investors Chapter 8: Building a Municipal Bond Portfolio 8.1 Setting Investment Objectives and Risk Tolerance for a Municipal Bond Portfolio 8.2 Portfolio Diversification Strategies for a Municipal Bond Portfolio 8.3 Selecting Municipal Bonds Based on Maturity and Yields 8.4 Assessing Liquidity and Marketability of Muni Bonds 8.5 Portfolio Monitoring and Rebalancing Techniques for Muni Bonds Chapter 9: Risks and Mitigation Strategies in Municipal Bond Investing 9.1 Interest Rate Risk and Duration Analysis in Municipal Bond Investing 9.2 Credit Risk and Default Probability Assessment in Municipal Bond Investing 9.3 Prepayment and Call Risk in Municipal Bonds 9.4 Liquidity Risk and Marketability Considerations in Municipal Bond Investing 9.5 Strategies for Mitigating Risks in Municipal Bond Investments Chapter 10: Secondary Market Trading and Pricing of Municipal Bonds Chapter 11: Evaluating Municipal Bond Funds and ETFs Chapter 12: Advanced Topics in Municipal Bond Investing
Download or read book Bond Markets Analysis and Strategies tenth edition written by Frank J. Fabozzi and published by MIT Press. This book was released on 2021-12-07 with total page 937 pages. Available in PDF, EPUB and Kindle. Book excerpt: The updated edition of a widely used textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategy. This new edition of a widely used textbook covers types of bonds and their key features, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. It includes real-world examples and practical applications of principles as provided by third-party commercial vendors. This tenth edition has been substantially updated, with two new chapters covering the theory and history of interest rates and the issues associated with bond trading. Although all chapters have been updated, particularly those covering structured products, the chapters on international bonds and managing a corporate bond portfolio have been completely revised. The book covers the basic analytical framework necessary to understand the pricing of bonds and their investment characteristics; sectors of the debt market, including Treasury securities, corporate bonds, municipal bonds, and structured products (residential and commercial mortgage-backed securities and asset-backed securities); collective investment vehicles; methodologies for valuing bonds and derivatives; corporate bond credit risk; portfolio management, including the fundamental and quantitative approaches; and instruments that can be used to control portfolio risk.
Download or read book Valuation In A World Of Cva Dva And Fva A Tutorial On Debt Securities And Interest Rate Derivatives written by Donald J Smith and published by #N/A. This book was released on 2017-07-20 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: CVA, DVA, and FVA, which are the acronyms for credit, debit, and funding valuation adjustments, have become widely used by major banks since the financial crisis. This book aims to bridge the gap between the highly complex and mathematical models used by these banks to adjust the value of debt securities and interest rate derivatives, and the end users of the valuations, for example, accountants, auditors, and analysts. The book, which is essentially a tutorial, demonstrates the types of models that are used using binomial trees that are featured in the CFA® fixed income curriculum and allows readers to replicate the examples using a spreadsheet.
Download or read book Encyclopedia of Quantitative Risk Analysis and Assessment written by and published by John Wiley & Sons. This book was released on 2008-09-02 with total page 2163 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.
Download or read book Project Decisions written by Lev Virine and published by Berrett-Koehler Publishers. This book was released on 2007-10 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: Project management is the art of making the right decisions. To be effective as a project manager, you must know how to make rational choices in project management, what processes can help you to improve these choices, and what tools are available to help you through the decision-making process. Project Decisions: The Art and Science is an entertaining and easy-to-read guide to a structured project decision analysis process. This valuable text presents the basics of cognitive psychology and quantitative analysis methods to help project managers make better decisions. Examples that portray different projects, real-life stories, and popular culture will help readers acquire the essential knowledge and skills required for effective project decision-making. Readers will be able to: •Understand psychological pitfalls related to project management •Establish a creative business environment in their organization •Identify project risks and uncertainties •Develop estimates of project time and cost based on an understanding of human psychology •Perform basic quantitative and qualitative risk and decision analysis •Use event chain methodology in managing projects •Communicate the results of decision analysis to decision-makers •Review project decisions and perform adaptive project management •Establish a project decision analysis process in their organization PLUS — Test your own judgment through a quiz that examines your intuition!
Download or read book The Journal of Finance written by and published by . This book was released on 1978 with total page 1120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publishes across all the major fields of financial research. The most widely cited academic journal on finance and one of the most widely cited journals in economics as well.
Download or read book Alternative Investments written by CAIA Association and published by John Wiley & Sons. This book was released on 2016-09-27 with total page 1207 pages. Available in PDF, EPUB and Kindle. Book excerpt: In-depth Level II exam preparation direct from the CAIA Association CAIA Level II is the official study guide for the Chartered Alternative Investment Analyst professional examination, and an authoritative guide to working in the alternative investment sphere. Written by the makers of the exam, this book provides in-depth guidance through the entire exam agenda; the Level II strategies are the same as Level I, but this time you'll review them through the lens of risk management and portfolio optimisation. Topics include asset allocation and portfolio oversight, style analysis, risk management, alternative asset securitisation, secondary market creation, performance and style attribution and indexing and benchmarking, with clear organisation and a logical progression that allows you to customise your preparation focus. This new third edition has been updated to align with the latest exam, and to reflect the current practices in the field. The CAIA designation was developed to provide a standardized knowledge base in the midst of explosive capital inflow into alternative investments. This book provides a single-source repository of that essential information, tailored to those preparing for the Level II exam. Measure, monitor and manage funds from a risk management perspective Delve into advanced portfolio structures and optimisation strategies Master the nuances of private equity, real assets, commodities and hedge funds Gain expert insight into preparing thoroughly for the CAIA Level II exam The CAIA Charter programme is rigorous and comprehensive, and the designation is globally recognised as the highest standard in alternative investment education. Candidates seeking thorough preparation and detailed explanations of all aspects of alternative investment need look no further than CAIA Level II.
Download or read book Understanding Investments written by Nikiforos T. Laopodis and published by Routledge. This book was released on 2020-06-03 with total page 814 pages. Available in PDF, EPUB and Kindle. Book excerpt: This revised and fully expanded edition of Understanding Investments continues to incorporate the elements of traditional textbooks on investments, but goes further in that the material is presented from an intuitive, practical point of view, and the supplementary material included in each chapter lends itself to both class discussion and further reading by students. It provides the essential tools to navigate complex, global financial markets and instruments including relevant (and classic) academic research and market perspectives. The author has developed a number of key innovative features. One unique feature is its economic angle, whereby each chapter includes a section dedicated to the economic analysis of that chapter’s material. Additionally, all chapters contain sections on strategies that investors can apply in specific situations and the pros and cons of each are also discussed. The book provides further clarification of some of the concepts discussed in the previous edition, thereby offering a more detailed analysis and discussion, with more real-world examples. The author has added new, shorter text boxes, labeled "Market Flash" to highlight the use of, or changes in current practices in the field; updates on strategies as applied by professionals; provision of useful information for an investor; updates on regulations; and anything else that might be relevant in discussing and applying a concept. This second edition also includes new sections on core issues in the field of investments, such as alternative investments, disruptive technologies, and future trends in investment management. This textbook is intended for undergraduate students majoring or minoring in finance and also for students in economics and related disciplines who wish to take an elective course in finance or investments.
