This book focuses on four components of the process of fixed income portfolio management with reference to government securities: Valuation and Return, Sensitivity, Value at Risk and Validation of VaR estimate. It also explores the problems with valuations on the basis of yield to maturity applying discreet discounting method as is the market practice, performing sensitivity measures by applying the modified duration method with the predicted yield shocks provided by RBI and making risk charges accordingly, calculation of ...
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This book focuses on four components of the process of fixed income portfolio management with reference to government securities: Valuation and Return, Sensitivity, Value at Risk and Validation of VaR estimate. It also explores the problems with valuations on the basis of yield to maturity applying discreet discounting method as is the market practice, performing sensitivity measures by applying the modified duration method with the predicted yield shocks provided by RBI and making risk charges accordingly, calculation of VaR with different methods and back testing and stress testing; and suggests how to overcome those problems and which tools to use in which situation judiciously. Understanding of the text and the CD material would prevent frequency of breaches of risk measures and improve accuracy and speed of computation. This book covered the concepts, tools and techniques of fixed income to the extent they are warranted in daily practice by the officers in treasury and risk management without going into unnecessary academic details. For the above CD contact the author at the email id: Dr.RituparnaDas@gmail.com
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Add this copy of Handbook of Fixed Income Securities: Indian Banking to cart. $84.23, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Newport Coast, CA, UNITED STATES, published 2010 by VDM Verlag Dr. Müller.
