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

Thomas S. Y. Ho

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ISBN 10: 155738875X / ISBN 13: 9781557388759
Published by Probus Publishing Co., 1995
Condition: Good Hardcover
From Books Express (Portsmouth, NH, U.S.A.)

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Bibliographic Details

Title: Frontiers in Fixed Income Management: The ...

Publisher: Probus Publishing Co.

Publication Date: 1995

Binding: Hardcover

Book Condition: Good

Edition: First - may be Reissue.

About this title


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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