Risk Management in Fixed Income Markets

Author: Golub
Publisher:
Publication Date: 2005-06-01
Features: I believe that this book by Golub and Tilman will undoubtedly become a reference for fixed income portfolio managers, traders, issuers, and scholars. The book is comprehensive, clearly written, and rigorous. It provides many practical examples that are very easy to understand. — Richard Roll Outstanding and rare! It offers an in-depth discussion of the theoretical foundations of risk management from the perspective of a practicing professional. Whether for practitioners or the academic community, this book is a fundamental reference tool. — Gregory J. Paschal The two authors are senior risk management practitioners at a global asset management and risk consulting firm. They skillfully combine finance, economics, mathematics, and common sense to creatively apply new financial simulation techniques to manage fixed income market risk. The book balances both theoretical and practical perspectives, introducing existing and new risk management techniques in an integrated yet accessible manner, including duration for interest rate and basis risk, scenario analysis, expected yield, portfolio and hedge optimization, etc. As more financial systems adopt strict risk management techniques and apply these techniques in investment decisions, whether it is for Chief Investment Officers, corporate finance officers, portfolio managers, risk managers, traders, or academic researchers and finance students, they will all find this book to be an invaluable guide as they navigate the exciting and challenging field of investment.