Frontiers in Fixed Income Management: The State-Of-The-Art in Credit Risk, Derivatives Valuation and Portfolio Strategies - Hardcover

Gat Fixed-Income Conference 1994) (Amelia Island, Fla.)

9781557388759: Frontiers in Fixed Income Management: The State-Of-The-Art in Credit Risk, Derivatives Valuation and Portfolio Strategies

Hardcover

ISBN 10: 155738875X ISBN 13: 9781557388759

Publisher: Probus Pub Co, 1995

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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