By Frank J. Fabozzi
ISBN-10: 0471268054
ISBN-13: 9780471268055
ISBN-10: 0471486159
ISBN-13: 9780471486152
Expert views on fastened source of revenue Portfolio administration, quantity four is a worthy practitioner-oriented textual content that addresses the present advancements in addition to key suggestions and critical theories during this box. packed with insightful articles that concentrate on 3 vital parts of mounted source of revenue portfolio management–fixed source of revenue research and methods, credits hazard and credits derivatives, and established products–this quantity comprises hard-won useful wisdom and conception that might let you navigate today’s industry with poise and self belief. Written via skilled fastened source of revenue pros, this finished quantity bargains in-depth research on a variety of fastened source of revenue portfolio administration matters, together with: Risk/return trade-offs on mounted source of revenue asset periods Consistency of hold techniques in Europe The Euro benchmark yield curve Quantitative methods as opposed to basic research for valuing company credits The implication of Merton versions for company bond traders The valuation of credits default swaps Framework for secondary industry collateralized debt legal responsibility valuation For the monetary expert who must comprehend the complicated features of fastened source of revenue portfolio administration, expert views on mounted source of revenue Portfolio administration, quantity four bargains the most up-tp-date pondering from the main skilled execs during this box. elevate your wisdom of this marketplace and increase your monetary functionality for years yet to come with specialist views on mounted source of revenue Portfolio administration, quantity four.
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Additional info for Professional Perspectives on Fixed Income Portfolio Management, Vol. 4 (Frank J. Fabozzi Series)
Sample text
2-Breger Page 38 Wednesday, July 23, 2003 10:21 AM 38 EXHIBIT 13 PROFESSIONAL PERSPECTIVES ON FIXED INCOME PORTFOLIO MANAGEMENT Examples of Factor Correlations in the Standard and Structured Integrations THE MODEL IN ACTION European fixed income portfolios are now often managed against a broad index. The risk characteristics of an index like the Merrill Lynch EMU Corporate Large Cap are presented in Exhibit 14. This index tracks the performance of large investment grade corporate issues denominated in euro and is balanced to reflect the contributions of each market sector to the total outstanding corporate debt.
It is also crucial in understanding risk exposures. We begin our analysis by writing the excess returns of assets in a portfolio as r excess = ( r IR + r curr + r spread factor + r specific ) (2) where rIR 1 = the vector of returns due to changes in interest rates For more information on factor models, see for instance Richard C. Grinold and Ronald N. Kahn, “Multiple Factor Models for Portfolio Risk,” John W. ) A Practitioner’s Guide to Factor Models (Charlottesville, VA: AIMR, 1994). 2 The return common horizon will be one month in most cases.
Each corporate bond will only be exposed to one of these factors, with an exposure that will typically increase with the bond’s maturity. A rule of thumb is that it will be comparable to the bond’s exposure to the shift factor. The spread risk of almost all AAA, AA, and A rated bonds will be less than their interest rate risk, and it is only for BBB rated bonds and in some very specific market sectors such as Energy and Telecoms that spread risk starts exceeding benchmark risk. Spread risk is by far the dominant source of systematic risk for high-yield instruments.
Professional Perspectives on Fixed Income Portfolio Management, Vol. 4 (Frank J. Fabozzi Series) by Frank J. Fabozzi
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