Free PDF Fixed Income Attribution, by Andrew Colin
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Fixed Income Attribution, by Andrew Colin
Free PDF Fixed Income Attribution, by Andrew Colin
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Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void. This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system. Filled with insightful examples and expert advice, Fixed Income Attribution is the perfect source of information for those working in this complex environment.
- Sales Rank: #2604015 in Books
- Published on: 2005-03-04
- Original language: English
- Number of items: 1
- Dimensions: 9.86" h x .71" w x 6.97" l, 1.10 pounds
- Binding: Hardcover
- 162 pages
Most helpful customer reviews
4 of 4 people found the following review helpful.
Not good
By dekunstruct
This is a superficial book which doesn't go into enough depth in fixed income attribution. Instead of filling pages and pages with pictures of different yield curves and outputs of different software to **display** the attribution results (chapter on "presentation" pp121-131), the author could have presented a few in-depth worked examples of how fixed income attribution can be done, from start to finish, for an example fixed income portfolio containing different assets (including government and corporate bonds), against a benchmark. That would have served as a reusable instructive tool. There is one worked example of perturbational attribution, which is for a single Treasury bond. This superficiality lacks any depth to equip one to do attribution on fixed income portfolios. It will not teach you how to do attribution for a portfolio against a benchmark where you have curve, sector allocation, security selection and other decisions.
1 of 1 people found the following review helpful.
Expected more depth...
By J. Schmittmann
This book provides an overview and not more. In an attempt to address non-technical readers the author is very short on technical issues such as Nelson-Siegel yield curve approximation. However, to really undertstand these topics I had to consult other sources. Actually, I find the Wikipedia entry for "Fixed Income Attribution" as informative for getting an overview of the topic as this overpriced little book.
1 of 1 people found the following review helpful.
Overview
By J. R. Schuhow
Good overview of fixed income attribution. Discusses in general different attribution methodologies. I was hoping that the author would've discussed duration-based attribution in more detail. However, the purpose of my purchase was to get an overview of the topic which the author successfully achieved.
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