Cover image for Mastering Attribution in Finance

Mastering Attribution in Finance

Author Andrew Colin
Release Date: 2016/02/01
ISBN: 9781292114057
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Book Description

Mastering Attribution in Finance is a comprehensive guide to how attribution is used in equity and fixed income markets.

 

As with all Mastering titles, this book is written by an expert in the field. The book:

  • Presents a structure overview of attribution in finance
  • Provides a complete mathematical toolkit, including all the necessary formulae
  • Covers all the key models, such as The Campisi model, Duration attribution, the Tim Lord model, key rate attribution, top-down attribution, Karnosky-Singer attribution model, Parametric and non-parametric yield curve models, Brinson attribution
  • Includes tricks and techniques for trading specific types of fixed income security

Table of Contents

  1. Cover
  2. Title page
  3. Contents
  4. Dedication
  5. About the author
  6. Acknowledgements
  7. Preface
  8. 1 An introduction to attribution
  9. Part 1 Equity attribution
    1. 2 The basics of performance measurement
    2. 3 Equity attribution
    3. 4 Currency attribution
    4. 5 Smoothing algorithms
  10. Part 2 Fixed income attribution
    1. 6 An overview of fixed income risks
    2. 7 Yield curves in attribution
    3. 8 Pricing, risk and the attribution equation
  11. Part 3 Sources of fixed income return
    1. 9 Carry return
    2. 10 Sovereign curve attribution
    3. 11 Sector and credit return
    4. 12 Other security-specific sources of return
    5. 13 Balanced attribution
    6. 14 Duration allocation attribution
  12. Part 4 Attribution on fixed income securities
    1. 15 Bonds
    2. 16 Money market securities
    3. 17 Inflation-linked securities
    4. 18 Futures
    5. 19 Annuities and amortising securities
    6. 20 Swaps
    7. 21 Options and callable bonds
    8. 22 Collateralised and securitised debt
  13. Part 5 Attribution in practice
    1. 23 Popular attribution models
    2. 24 Reporting
  14. What did you think of this book?
  15. Afterword
  16. Appendices
    1. A A summary of the Karnosky-Singer attribution model
    2. B Explicit pricing of an FRN
    3. C Attribution on Australian and New Zealand bond futures
    4. D Parametric and non-parametric yield curve models
    5. E Replicating the return of a hedged benchmark
    6. F Duration-weighted yields
    7. G Combining duration allocation returns
    8. H Sources of yield curve data
  17. Bibliography
  18. Index
  19. Endorsements
  20. Advertisements
  21. Imprint