O'Reilly logo

The Handbook of Fixed Income Securities, Eighth Edition, 8th Edition by Steven V. Mann, Frank J. Fabozzi

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

CHAPTERFORTY-SEVENANALYZING RISK FROM MULTIFACTOR FIXED INCOME MODELS

ANTHONY LAZANAS, PH.D.

Managing DirectorBarclays Capital

ANTÓNIO BALDAQUE DA SILVA, PH.D.

DirectorBarclays Capital

RADU C. GimagesBUDEAN, PH.D.

Vice PresidentBarclays Capital

ARNE D. STAAL, PH.D.

DirectorBarclays Capital

Portfolio managers constantly monitor their exposures, typically net of a benchmark, and routinely ask themselves: What is the portfolio interest-rate duration? How risky is the overexposure to Treasuries? How does it relate to the exposure to credit? What is the exposure to specific issuers? Knowing portfolio holdings and exposures are not enough for portfolio managers, ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required