Yield Curve Management

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

Chapter 4 in Quantitative Global Bond Portfolio Management, 2023, pp 103-150 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Bond pricing is the essence of bond portfolio management. The most important determinant of bond pricing is the yield curve, or alternatively, the term structure of interest rates. In this chapter, we highlight the role of yield curve management in global bond portfolios, provide an overview of how to estimate bond prices and spot curves, and develop yield and spot curve strategies that are the cornerstone of a quantitative investment process. Importantly, spot curves, bond expected returns, and option-adjusted spreads are input parameters for the optimization processes applied to allocation and security selection which we cover in Chapters 6 and 7. Further applications of bond pricing and expected risk-and-return estimations are the fundamentals of yield curve 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
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