Currency Management

Gueorgui S. Konstantinov, Frank J. Fabozzi and Joseph S. Simonian

Chapter 3 in Quantitative Global Bond Portfolio Management, 2023, pp 67-101 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Currencies play an important role in global bond portfolios because they constitute one of the major risks for fixed-income instruments. Currency risk appears via two channels. First, through the passive currency exposure that is present in bond portfolios simply as a result of holding bonds in foreign currencies. Second, currency risk may appear through active currency management where currency overlays are implemented in a portfolio with the objective of enhancing returns and minimizing risks. In this chapter, we provide a comprehensive overview of currency risk and active currency management. Included in our discussion are detailed formal accounts of various metrics for measuring currency risk and performance, as well as an overview of various active currency strategies.

Keywords: Fixed-Income; Currency Management; Portfolio Management; Risk Management; Factors; Portfolio Optimization; Hedging; Portfolio Evaluation; Performance Attribution (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811272578_0003 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811272578_0003 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789811272578_0003

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().