Strategic Asset Allocation in Fixed Income Markets

Ken Nyholm 지음

Wiley 2008년 09월 15일 출간

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Matlab is used within nearly all investment banks and is a requirement in most quant job ads. There is no other book written for finance practitioners that covers thisEnables readers to implement financial and econometric models in MatlabAll central concepts and theories are illustrated by Matlab implementations which are accompanied by detailed descriptions of the programming steps neededAll concepts and techniques are introduced from a basic levelChapter 1 introduces Matlab and matrix algebra, it serves to make the reader familiar with the use and basic capabilities if Matlab. The chapter concludes with a walkthrough of a linear regression model, showing how Matlab can be used to solve an example problem analytically and by the use of optimization and simulation techniquesChapter 2 introduces expected return and risk as central concepts in finance theory using fixed income instruments as examples, the chapter illustrates how risk measures such as standard deviation, Modified duration, VaR, and expected shortfall can be calculated empirically and in closed formChapter 3 introduces the concept of diversification and illustrates how the efficient investment frontier can be derived - a Matlab is developed that can be used to calculate a given number of portfolios that lie on an efficient frontier, the chapter also introduces the CAPMChapter 4 introduces econometric tools: principle component analysis is presented and used as a prelude to yield-curve factor models. The Nelson-Siegel model is used to introduce the Kalman-Filter as a way to add time-series dynamics to the evolution of yield curves over time, time series models such as Vector Autoregression and regime-switching are also presentedSupported by a website with online resources - www.kennyholm.com where all Matlab programs referred to in the text can be downloaded. The site also contains lecture slides and answers to end of chapter exercises

목차

1. Introduction.1.1 Strategic Asset Allocation.1.2 Outline of the Book.2. Essential Elements of Matlab.2.1 Introduction.2.2 Getting started.2.3 Introductorymatrix algebra.2.4 Organising data.2.5 Creating functions.2.5.1 Branching and looping.2.5.2 An example of a simple function.2.5.3 Calling functions in Matlab Rø.2.6 The linear regression.2.6.1 The basic setup.2.6.2 Maximumlikelihood.2.7 Some estimation examples.2.8 A brief introduction to simulations.2.8.1 Generating correlated randomnumbers.3. Fixed-Income Preliminaries.3.1 Introduction.3.2 Spot rates and yields.3.3 Forward rates.3.4 Bond pricing functions.4. Risk and Return Measures.4.1 Introduction.4.2 RiskMeasures.4.2.1 Value-at-risk and Expected Shortfall.4.2.2 Duration and modified duration.4.3 Fixed-Income Returns.5. Term Structure Models.5.1 Introduction.5.2 Not-Necessarily Arbitrage FreeModels.5.2.1 Nelson and Siegel.5.2.2 Svensson and Soderlind.5.3 Arbitrage-FreeModels.5.3.1 Vasicek.5.3.2 Multi-factormodels: an example.6. Asset Allocation.6.1 Introduction.6.2 Efficient portfolios.6.3 Diversification.6.4 Theminimumvariance portfolio.6.5 Asset weight constraints.6.6 The Capital Asset PricingModel.7. Statistical Tools.7.1 Introduction.7.2 The Vector Auto Regression.7.2.1 Order of integration.7.3 Regime switchingmodels.7.3.1 Introduction.7.4 Yield curvemodels in state-space form.7.4.1 The Nelson-Siegelmodel in state-space.7.5 Importance Sampling.7.5.1 Some theory.7.5.2 An example.8. Building graphical user interfaces.8.1 Introduction.8.2 The "guide" development environment.8.3 Creating a simple GUI.8.3.1 Plotting the yield curve.8.3.2 Estimating lambda; and yield curve factors.9. Useful Formulas and Expressions.9.1 Introduction.9.2 Matrix operations.9.2.

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저자(글) Ken Nyholm

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Ken Nyholm works in the Risk Management Division of the European Central Bank, focusing on the practical implementation of financial and quantitative techniques in the area of fixed income strategic asset allocation for the bank'sdomestic and foreign currency portfolios, as well as asset and liability management forpensions.Ken holds a PhD infinance and has published numerous articleson yield curve modellingand financial market microstructure. Ken has extensiveteaching andcommunication experience obtained from university courses at the master level, as well as conferencespeaking engagements, and central banking seminars.