By F. Hagenstein, Tim Bangemann
The authors give you the reader with an intensive device set for energetic and winning administration of mounted source of revenue portfolios in addition to for credit. the focal point of debate is on quantitative and, for credit, qualitative tools of portfolio administration. those options might be hired for portfolio diversification and to be able to outperform the benchmark. equipment appropriate for various threat elements - length, yield curve, foundation, volatility and credits administration - are illustrated intimately utilizing a top-down and bottom-up process. numerous examples are provided to teach the sensible relevance of the theoretical types and method.
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Additional info for Active Fixed Income and Credit Management
0,80 . 0,60 . 0,40 . 0,20 . y = -0,3682x + 2,0788 . 2 R = 0,8685 . -– . 2,50 3,00 . 3,50 . 4,00 4,50 . 5,00 . 5,50 . 3 Regression of the 10y–30y spread vs. 868): January 1997–June 2000 Source: JP Morgan When unforeseen extraordinary events take place, the markets often overreact and yield curves can move out of line. Two examples follow. ■ The dramatic terrorist attack in the US on 11 September 2001. 5 bps, while the 10y–30y yield spread widened by 7 bps, moving the 10y–30y yield spread signiﬁcantly further away from the mean regression line (similar moves were also experienced in the US market).
5 Type (d) 2y–5y–10y barbell in Germany Barbell type (d) Duration-neutral with weightings 5–10 (70%) and 2–5 (30%) 36 (long 2y and 10y vs. 6 for the duration- and cash-neutral barbell. Naturally, it is also possible to set up a barbell trade using bond futures (for example, long Schatz and Bund futures with short Bobl futures). How and when to substitute cash bonds with bond futures is analysed in Chapter 4, which discusses basis management. 7 Proﬁt/loss for type (a) barbell for different curve scenarios Barbell type (a) Duration- and cash-neutral (long 2y and 10y vs.
During the course of the days after the event (up to 18 September 2001), Euroland 2y yields declined by 27 bps and the 10y–30y yield spread widened by 18 bps. Subsequently a ﬂattening in 10y–30y yield spread occurred, and the regression moved back into line. ■ The announcement by the US Treasury on 31 October 2001 that it would not issue any new 30-year government bonds. 4 – it was not possible to follow the spread movement further in this book because of the timing of its publication). 4 10–30 years Treasury spread USA vs.