固定收益组合管理.pptxVIP

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CFA Level III 前导课程;CFA III复习方法;固定收益 10 重点 ;Overview;Bond Portfolio Management: the framework (1) ;Bond Portfolio Management: the framework (2);Bond Portfolio Management: the framework (3);Benchmark and Bond Index - Overview;Bond Indexing Strategy (1) Volpert 2000;Bond Indexing Strategy (2);Why Bond Indexing?;Selecting a Benchmark Bond Index;Example1 : Selecting bond index benchmark;Stratified Samplings;Aligning Risk Exposures- Multifactor model ;Interest rate risk- Duration;Rebalancing the Portfolio Dollar Duration;Key rate Duration vs PV distribution of CF ;Example 2.1 Duration Contribution;Example 2.2 Dollar Duration;Example 2.3 Replacing Based on DD;Example 2.4 Present Value Distribution of CF ;Tracking Risk;Example Interpreting and Reducing Tracking Risk ;Enhanced Indexing Active Strategy ;Scenario analysis;Spread and spread duration;Example 3 Spread Duration;Portfolio Immunization;Classic Immunization (1);Classic Immunization (2);Example 4 Immunization Risk;Portfolio Immunization and CF Matching (2);Contingent Immunization (Leibowitz Weinberger,1981);Example 5 Contingent Immunization;Example 5 Contingent Immunization(2);Example 5 Contingent Immunization (3);Multiple Liabilities Immunization;Example 6 Cash Flow Matching;Example 6 Cash Flow Matching (2);Example 6 Cash Flow Matching (3);Overview;Global Credit Bond Portfolio;Relative Value Analysis;Primary Market Analysis;Liquidity and Trading Analysis;Secondary Market Analysis: For trading ;Secondary Market Analysis: For trading (2);Secondary Market Analysis: For not trading;Spread Analysis;Structuring Analysis (1);Structuring Analysis (2);Credit Analysis;Overview;Leverage;Example 8.1 The effect of leverage on return ;Example 8.2 The effect of leverage on duration;Repurchase Agreement;Leverage summary;Alternative measures of bond risk;Interest rate futures- Definition;Interest rate futures- DD adjustment;Example 9 Duration Management with futures;Interest rate futures- Hedging;Interest rate futures- Hedging (2)

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