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Portfolio Representations: A Step-By-Step Guide to Representing Value, Exposure and Risk for Fixed Income, Equity, FX and Derivatives

De (autor)
Notă GoodReads:
en Limba Engleză Paperback – 2012
Provides a practical and sophisticated insight into each financial asset type, and how the different risks and exposures they involve should be most accurately combined and represented in a portfolio.
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Specificații

ISBN-13: 9781906659899
ISBN-10: 1906659893
Pagini: 473
Dimensiuni: 161 x 234 x 28 mm
Greutate: 0.73 kg
Editura: HARRIMAN HOUSE LTD

Cuprins

Preface

1. Building a Portfolio View
1.1 Valuation and Weight
1.2 Scaling Risk Factors
1.3 Multiple Risks from a Single Holding
1.4 Relative to the Benchmark Differences
1.5 Long and Short Positions
1.6 Market Value vs. Exposure and Gearing

2. Equity
2.1 Shares
2.2 CFDs
2.3 Equity Options
2.4 Index Futures
2.5 Index Options

3. Money Market
3.1 Cash
3.2 CD/CP
3.3 FRN
3.4 STIR Futures
3.5 Options on STIR Futures
3.6 Repo

4. Fixed Income
4.1 Bonds
4.2 Government Bonds
4.3 Index-Linked Bonds
4.4 Corporate Bonds
4.5 Bonds with Embedded Options
4.6 Convertible Bonds
4.7 Zero-Coupon Bonds, Bills and Strips
4.8 Perpetual Bonds
4.9 Floating Rate Notes
4.10 Mortgage-Backed Securities
4.11 Bond Futures
4.12 Bond Options
4.13 Interest Rate Swaps (IRS)
4.14 Inflation Swaps
4.15 Asset Swaps
4.16 Single Name CDSs
4.17 Index CDSs
4.18 Swaptions

5. Currency
5.1 Spot FX
5.2 Forwards and Futures
5.3 FX Swaps
5.4 FX Options

6. Funds - Unitised and ETFs
6.1 Introduction
6.2 Pricing
6.3 Risk Factors
6.4 Representation
6.5 Summary
6.6 Glossary

7. Cross Asset-Type Issues
7.1 The Impact of Strategies
7.2 Correlation and Volatility

Index