Frontiers in Fixed Income Management by Thomas S.Y. Ho

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Author
Thomas S.Y. Ho
Publisher
Irwin Professional Publishing
Date of release
Pages
300
ISBN
9781557388759
Binding
Hardcover
Illustrations
Format
PDF, EPUB, MOBI, TXT, DOC
Rating
5
20

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Book review

Based on presentations made at the Third Annual GAT Fixed Income Conference, the premiere forum for the discussion of advanced topics in the fixed-income arena, Frontiers in Fixed-Income Management reflects the latest thinking and research in the field. Specific topics include: Strategic Portfolio Management: Discusses the inadequacy of duration and convexity as risk measures, the use of primitive securities to control duration drift, and utilizing genetic algorithms to develop dynamic investment strategies; CMOs, Whole Loans, and Structured Notes: highlights include a stochastic evaluation of whole loan credit risk, constructing an in-house adjustable rate mortgage model, and using pathwise strategies to make strategic asset liability management decisions; Credit Risk: This section provides a unique anaysis of the term structure of credit spreads.


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