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Yield Curve Management

In: Quantitative Global Bond Portfolio Management

Author

Listed:
  • Gueorgui S. Konstantinov
  • Frank J. Fabozzi
  • Joseph S. Simonian

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.

Suggested Citation

  • Gueorgui S. Konstantinov & Frank J. Fabozzi & Joseph S. Simonian, 2023. "Yield Curve Management," World Scientific Book Chapters, in: Quantitative Global Bond Portfolio Management, chapter 4, pages 103-150, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811272578_0004
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    More about this item

    Keywords

    Fixed-Income; Currency Management; Portfolio Management; Risk Management; Factors; Portfolio Optimization; Hedging; Portfolio Evaluation; Performance Attribution;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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