| Description |
1 online resource (445 p.) |
| Series |
Frontiers in Finance Series |
|
Frontiers in Finance Series
|
| Contents |
Cover -- Title Page -- Copyright -- Contents -- Frequently Used Abbreviations -- Foreword -- Preface -- Acknowledgments -- Section I An Approach to Fixed-Income Investment Risk Management -- Chapter 1 An Investment Risk Management Paradigm -- 1.1 Introduction -- 1.2 Elements of Risk Management -- 1.3 BlackRock's Investment and Risk Management Approach -- 1.4 Introduction to the BlackRock Investment Risk Management Paradigm -- Notes -- Chapter 2 Parametric Approaches to Risk Management -- 2.1 Introduction -- 2.2 Measuring Interest Rate Exposure: Analytical Approaches |
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2.2.1 Macaulay and Modified Duration and Convexity -- 2.2.2 Option-Adjusted Framework: OAV, OAS, OAD, OAC -- 2.2.3 Dynamic Nature of Local Risk Measures: Duration and Convexity Drift -- 2.2.4 Interest Rate Scenario Analysis -- 2.3 Measuring Interest Rate Exposure: Empirical Approaches -- 2.3.1 Coupon Curve Duration -- 2.3.2 Empirical (Implied) Duration -- 2.4 Measuring Yield Curve Exposure -- 2.4.1 Key Rate Durations -- 2.5 Measuring and Managing Volatility Related Risks -- 2.5.1 Volatility Duration -- 2.5.2 Option Usage in Portfolio Management -- 2.6 Measuring Credit Risk |
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2.6.1 Spread Duration -- 2.6.2 Duration Times Spread (DxS) -- 2.7 Measuring Mortgage-Related Risks -- 2.7.1 Prepayment Duration -- 2.7.2 Mortgage/Treasury Basis Duration -- 2.8 Measuring Impact of Time -- Notes -- Chapter 3 Modeling Yield Curve Dynamics -- 3.1 Probability Distributions of Systematic Risk Factors -- 3.2 Principal Component Analysis: Theory and Applications -- 3.2.1 Introduction -- 3.2.2 Principal Components Analysis -- 3.2.3 The First Principal Component and the Term Structure of Volatility -- 3.2.4 Example: Historical Steepeners and Flatteners of the US Treasury Curve |
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3.3 Probability Distributions of Interest Rate Shocks -- Notes -- Chapter 4 Portfolio Risk: Estimation and Decomposition -- 4.1 Introduction -- 4.2 Portfolio Volatility and Factor Structure -- 4.3 Covariance Matrix Estimation -- 4.3.1 Weighting of Historical Data -- 4.3.1.1 Exponential Decay Weighting -- 4.3.1.2 Alternative Weighting Schemes and Stress Scenarios -- 4.3.1.3 Enhancing Volatility Responsiveness Dynamically -- 4.3.2 Asynchronicity -- 4.3.2.1 Overlapping Covariance Matrix -- 4.3.2.2 Newey-West Estimation -- 4.3.3 Factor Model Structure: Generalizations |
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4.3.3.1 Optimization of the Error-Bias Trade-Off -- 4.3.3.2 Misspecification and Omitted Covariation -- 4.3.4 Covariance Matrix Estimation: Summary and Recommendations -- 4.4 Ex Ante Risk and VaR Methodologies -- 4.4.1 VaR Estimation Approaches -- 4.4.2 Enhanced HVaR -- 4.4.2.1 EHVaR Systematic Risk Methodology -- 4.4.2.2 EHVaR Idiosyncratic Risk Methodology -- 4.4.3 VaR Estimation: Summary -- 4.5 Introduction to Risk Decomposition -- 4.6 Alternative Approaches to Risk Decomposition -- 4.6.1 A Comparison of the Different Approaches -- 4.7 Risk Decomposition Using CTR |
| Notes |
Description based upon print version of record |
|
4.7.1 Security-Level Contributions and Aggregations |
| Form |
Electronic book
|
| ISBN |
9781119884897 |
|
1119884896 |
|
