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Palgrave Macmillan

Active Fixed Income and Credit Management

  • Book
  • © 2002

Overview

Authors:
  1. Frank Hagenstein
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  2. Tim Bangemann
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Part of the book series: Finance and Capital Markets Series (FCMS)

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Table of contents (6 chapters)

  1. Front Matter

    Pages i-xvi
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  2. Active diversification of fixed-income portfolios

    • Frank Hagenstein, Tim Bangemann
    Pages 1-12

  3. Duration management

    • Frank Hagenstein, Tim Bangemann
    Pages 13-22

  4. Yield curve management

    • Frank Hagenstein, Tim Bangemann
    Pages 23-74

  5. Basis management

    • Frank Hagenstein, Tim Bangemann
    Pages 75-105

  6. Volatility management

    • Frank Hagenstein, Tim Bangemann
    Pages 106-123

  7. Credit management

    • Frank Hagenstein, Tim Bangemann
    Pages 124-226

  8. Back Matter

    Pages 227-230
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Keywords

About this book

The authors provide the reader with an extensive tool set for active and successful management of fixed income portfolios as well as for credits. The focus of discussion is on quantitative and, for credits, qualitative methods of portfolio management. These strategies may be employed for portfolio diversification and in order to outperform the benchmark. Methods applicable for different risk factors - duration, yield curve, basis, volatility and credit management - are illustrated in detail using a top-down and bottom-up approach. Several examples are presented to show the practical relevance of the theoretical models and approach.

About the authors

FRANK HAGENSTEIN is Head of Credit Fund Management at Union-Investment, Germany.

DR. TIM BANGEMANN is a Government Bond Trader at UBS Warburg, London.

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