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Fixed-income portfolio management in crisis period : expected tail loss (ETL) approach

Mili, Mehdi - 2012

The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...

Persistent link: https://www.econbiz.de/10009564251

Home country interest rates and international investment in U.S. bonds

Ammer, John; Claessens, Stijn; Tabova, Alexandra; … - 2018

We analyze how interest rates affect cross-border portfolio investments. Data on U.S. bond holdings by foreign …

Persistent link: https://www.econbiz.de/10011917242

Searching for yield abroad : risk-taking through foreign investment in U.S. bonds

Ammer, John; Claessens, Stijn; Tabova, Alexandra; … - 2018

The risk-taking effects of low interest rates, now prevailing in many advanced countries, "search-for-yield," can be hard to analyze due to both a paucity of data and challenges in identification. Unique, security-level data on portfolio investment into the United States allow us to overcome...

Persistent link: https://www.econbiz.de/10011854698

How Skilful are US Fixed-Income Fund Managers?

Clare, Andrew; Cuthbertson, Keith; Nitzsche, Dirk; … - 2021

number of bond funds with: both positive gross-of-fee alpha and positive net-of-fee alpha performance; and also a reduction … in funds with negative-alpha performance. This result indicates that many US bond fund managers anticipated the … Quantitative Easing that followed the GFC, positioned their bond funds against their benchmarks accordingly and added value to …

Persistent link: https://www.econbiz.de/10014087042

Liquidity, term spreads and monetary policy

Aksoy, Yunus; Basso, Henrique S. - 2012

We propose a model that delivers endogenous variations in term spreads driven primarily by banks’ portfolio decision and their appetite to bear the risk of maturity transformation. We first show that fluctuations of the future profitability of banks’ portfolios affect their ability to cover...

Persistent link: https://www.econbiz.de/10009682825