Advanced Fixed Income Analytics

Wesley Phoa is Vice President of Research at Capital Management Sciences.

• Preface. 1. An Empirical Analysis of Yield Curve Dynamics. Fundamental Factors Driving the Evolution of the Yield Curve. Going Beyond the Fundamentals: Nuances of the Yield Curve. 2. Term Structure Models: A Portfolio Manager's Guide. Setting the Scene. Basic Concepts of Interest Rate Option Models. Relative Merits of Different Term Structure Models. Option Models in Practice. 3. Quantitative Approaches to Inflation-Indexed Bonds. Inflation-Indexed Bonds and Real Yields. Inflation-Indexed Bonds in a Nominal Portfolio. Advanced Analysis Approaches to Inflation-Indexed Bonds. 4. Long Bond Pricing Paradoxes and Long-Term Yields. Analysis of the Convexity Bias. Theorems about Very Long-Term Interest Rates. A Very Long-Term Analysis of the Bond Market. 5. Prepayment Analysis and Prepayment Model Risk. Prepayment Models: Goals, Construction, Fitting, Evaluation. Prepayment Model Risk. 6. Measures of Non Yield Curve Risk and Risk/Return. Setting the Scene: The Concept of OAS. Advanced Risk Measures. Relative Value Analysis for Mortgages. Appendix: Default Risk and Default Spreads. 7. Risk Measurement and Performance Attribution. Classifying Risk Measurement Tools. Interpreting the Results of Performance Attribution. Relating Different Frameworks for Performance Attribution. Index.