Fixed Income Analytics: Bonds in High and Low Interest Rate Environments

This book explores bonds and bond portfolios, analyzing different yields and duration measures for negative and positive interest rates. It discusses the transition from a single bond to a portfolio, the internal rate of return equation, and the impact of yield scenarios on a model bond portfolio. It also introduces market and credit risk, concepts for assessing credit markets, and a benchmark industry overview. The second edition includes a chapter on multi-currency portfolios and currency hedging.

Format: Paperback / softback
Length: 226 pages
Publication date: 23 September 2021
Publisher: Springer Nature Switzerland AG

This comprehensive book delves into the realm of bonds and bond portfolios, offering a thorough analysis and exploration of various aspects related to these financial instruments. It begins by examining the diverse yields and duration measures employed in both negative and positive interest rate environments, providing valuable insights into their implications. The transition from investing in a single bond to managing a bond portfolio is intricately discussed, leading to the development of the equation for the internal rate of return (IRR). This pivotal equation is analyzed and compared with different approaches proposed in the financial industry, shedding light on their effectiveness in determining the optimal investment strategy.

Furthermore, the impact of different yield scenarios on a model bond portfolio is vividly illustrated, showcasing the potential risks and rewards associated with different investment strategies. Market and credit risk are introduced as independent sources of risk, emphasizing the importance of understanding and managing these factors in the context of bond investing. Various concepts for assessing credit markets are described, encompassing credit ratings, default probabilities, and interest rate spreads.

To conclude, this second edition of the book extends its coverage by including a comprehensive chapter on multi-currency portfolios, addressing the challenges and opportunities associated with investing in multiple currencies. Additionally, a discussion on currency hedging is provided, offering strategies for mitigating the risks associated with currency fluctuations. As a valuable resource, this book caters to a wide audience, including students, researchers, and professionals in the financial industry. Its comprehensive coverage, insightful analysis, and practical insights make it an essential tool for anyone seeking to deepen their understanding of bonds and bond portfolios.

Weight: 385g
Dimension: 235 x 155 (mm)
ISBN-13: 9783030471606
Edition number: 2nd ed. 2020