2010/11/14 by Matti Koivu, Koivu, Matti, Teemu Pennanen +1
Economics, Econometrics and Finance · #Credit Risk and Financial Regulations #FOS: Economics and business #Financial Markets and Investment Strategies #Portfolio Management (q-fin.PM) #Risk Management (q-fin.RM) #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications #q-fin.PM #q-fin.RM #q-fin.ST
paper · pdf · doi:10.48550/arxiv.1011.3246
arxiv created 2010/11/14 · openalex publication_date 2010/11/14 · arxiv updated 2010/11/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government bonds and investment grade corporate bonds. The underlying risk factors have natural interpretations which make the models well suited for risk management and portfolio design.