Modern multi-factor analysis of bond portfolios : critical implications for hedging and investing /: critical implications for hedging and investing. (2015)

• Record Type: Book
• Further Information: Note: Edited by Giovanni Barone Adesi, Nicola Carcano.
• Editors: Barone Adesi, Giovanni, 1951-; Carcano, Nicola
• Contents: 1. Introduction 2. Adjusting principal component analysis for model errors: Nicola Carcano2.1. The hedging models 2.2. The results 2.3. Conclusions 2.4. Appendix 3. Alternative models for hedging yield curve risk: an empirical comparison: Nicola Carcano and Hakim Dall'O 3.1. The hedging methodology 3.2. The dataset and the testing approach 3.3. The results 3.4. Conclusions 4. Applying error-adjusted hedging to corporate bond portfolios: Giovanni Barone-Adesi, Nicola Carcano and Hakim Dall'O 4.1. Dataset and calculation of unexpected returns 4.2. Methodology 4.3. Results 4.4. Conclusions 4.5. Appendix 1 4.6. Appendix 2 5. Credit risk premium: measurement, interpretation & portfolio allocation: Radu Gabudean, Wok Yuen Ng and Bruce D. Phelps 5.1. Measures of the credit risk premium 5.2. The long-term credit risk premium: Jan 1973-Nov 2012 5.3. Optimal combination of IG corporates and treasuries 5.4. Conclusion 6. Conclusion: Giovanni Barone-Adesi and Nicola Carcano.
• Publisher Details: Basingstoke, Hampshire : Palgrave Macmillan
• Publication Date: 2015
• Extent: 1 online resource, illustrations
• Subjects: 332.6323; Bonds; Risk management; Hedging (Finance); Portfolio management
• Languages: English
• ISBNs: 9781137564870; 9781137564863
• Related ISBNs: 9781137564856
• Notes: Note: Description based on CIP data; item not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.