F. Hagenstein, Tim Bangemann's Active Fixed Income and Credit Management PDF

By F. Hagenstein, Tim Bangemann

ISBN-10: 0230510493

ISBN-13: 9780230510494

ISBN-10: 1349432199

ISBN-13: 9781349432196

The authors give you the reader with an in depth software set for energetic and profitable administration of fastened source of revenue portfolios in addition to for credit. the point of interest of debate is on quantitative and, for credit, qualitative tools of portfolio administration. those recommendations can be hired for portfolio diversification and so one can outperform the benchmark. equipment acceptable for various chance elements - period, yield curve, foundation, volatility and credits administration - are illustrated intimately utilizing a top-down and bottom-up technique. a number of examples are offered to teach the sensible relevance of the theoretical types and strategy.

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Extra info for Active Fixed Income and Credit Management

Sample text

4) supports the decisionmaking process. Real interest rates are an important factor, too. High real yields can lead to moderate or even high confidence levels among investors, which result in bets on duration. Inflation-linked bonds issued by France are considered to be a good proxy for real interest rates and future inflation rates in Euroland; inflation is inversely correlated to the nominal bond returns. A stronger currency and declining commodity 13 3 ACTIVE FIXED INCOME AND CREDIT MANAGEMENT prices (CRB Commodity Price Index) are disinflationary forces, which can also be relevant drivers of bond markets.

It is worth noting that in past times of longlasting interest-rate trends, mainly the decreasing rates during the 1990s, investors used the low-inflation environment to overweight duration (versus benchmark), but this turned out to be counterproductive during the bear markets in 1994 and 1999. The steepness of the yield curve (a positive-carry situation) plays an important role for the investor entering into and holding long-duration positions. 4) supports the decisionmaking process. Real interest rates are an important factor, too.

Equity markets in the US came under severe pressure in November 2000 as the economic outlook was revised downwards and companies began announcing lower than anticipated profits. US interest rates decreased, due to high expectations of further interest-rate cuts. 5). The strong correlation between equity and fixed income markets was also evident after the terrorist attacks against the US on 11 September 2001: these caused US stock markets to close for four days, after which they opened markedly lower, while fixed-income markets received ‘safe haven’ flows.

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

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