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The analysis focuses on bonds and bond portfolios, exploring various yield and duration measures under both negative and positive interest rates. It transitions from single bonds to portfolios, deriving the internal rate of return and comparing industry approaches. The book illustrates the effects of yield scenarios on model portfolios and introduces market and credit risk as distinct risk sources. It covers credit market assessment concepts, benchmarks, and convertible bonds. The second edition adds insights on multi-currency portfolios and currency hedging, making it a valuable resource for students, researchers, and finance professionals.
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Fixed Income Analytics, Wolfgang Marty
- Lingua
- Pubblicato
- 2020
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