Modern Multi-Factor Analysis of Bond Portfolios: Critical Implications for Hedging and Investing

Where institutions and individuals averagely invest the majority of their assets in money-market and fixed-income instruments, interest rate risk management could be seen as the single most important global financial issue. However, the majority of the key techniques used by most investors were developed several decades ago, and the advantages of multi-factor models are not fully recognised by many researchers and practitioners.

This book provides clear and practical insight into bond portfo...