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Book/Article Detail


 
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Author(s):
Chapter:
7
Page Range:
133-148
Total Pages:
16
 
 
Publisher:
Publication Year:
2002
Language:
English
 
 
 
 
FRM Paid Candidate Price:         US$4.00
Reading Price:
GARP Member (Non-Affiliate):   US$4.00
 
Affiliate & Non-Member:             US$4.50
 
* Order print copy for an additional US$2.00 + shipping & handling (select at checkout)
 
 
 
To purchase all chapters from this book currently available from GDL, click here.
 
 
Quantitative Level:
Basic
 
 
Keywords:
 
 
Topics Covered:
Key rates, key rate shift, key rate 01s, key rate duration, hedging with key rates, bucket exposures, asset-liability management, immunization, multi-factor exposures
 
 
Reading Abstract:
This chapter builds on the one-factor models explained in chapters 5 and 6 and explains two multi-factor approaches, namely key rate analysis and bucket analysis. Both approaches are clearly explained with effective use of examples. The application of these models for hedging and asset-liability management is also discussed.
 
 
Reading Contents:
7.1 Key rate shifts
7.2 Key rate 01s and key rate durations
7.3 Hedging with key rate exposures
7.4 Choosing key rates
7.5 Bucket shifts and exposures
7.6 Immunization
7.7 Multi-factor exposures and risk management
 
 
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If you are interested in purchasing the book, please click here.
 
 
Book Review:
*** From the publisher ***
Praise for Fixed Income Securities, Second Edition
"What distinguishes this book from many others on the subject is that Tuckman has skillfully combined intuitive rationale with mathematical analysis to give readers a clear and deep understanding of the market. Tuckman has written a comprehensive reference book that should be found on the desks of both seasoned practitioners and novices alike." Gerald Lucas, Senior Government Strategist, Director, Global Securities Research, Merrill Lynch

"This outstanding book offers a well-written and clear tutorial for many of the cutting-edge analytical techniques and models used in practice. Combines a wealth of institutional knowledge, practical tools, and realistic examples, while giving a clear understanding of the underlying theory." Francis Longstaff, Professor of Finance, The Anderson School at UCLA

"An excellent reference for anyone intending to bridge the gap between financial mathematics theory and the practice of financial markets." Marek Musiela, BNP Paribas

"This is an extremely readable book with a balance between technical detail and practical application. Unlike other books in the area, thorough and tightly knit chapters reflect Tuckman s unique background as a well-respected academic and market participant." Tony D. Kao, Managing Director, Global Fixed Income GM Asset Management
 



 
   
GARP Digital Library