[量化金融] 利率变动环境下的信贷组合管理 [推广有奖]

英文标题：
《Credit Portfolio Management in a Turning Rates Environment》
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作者：
Arthur M. Berd, Elena Ranguelova, Antonio Baldaque da Silva
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最新提交年份：
2013
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英文摘要：
  We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation between sector spreads and rate shifts. However, we also observe that the correlations between spreads and Treasury twists reversed recently, which is likely attributable to the Fed\'s ongoing quantitative easing. We also find that short-term effective durations in the banking industry are now significantly lower than historical patterns would indicate. Our findings are relevant for credit portfolio managers contemplating the impact of rising interest rates and steepening Treasury curve on corporate bond portfolios.
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中文摘要：
我们使用巴克莱点全球风险模型的稳健框架，详细说明了信贷部门/质量和国债曲线因素之间的相关性。与之前的研究一致，我们发现部门利差和利率变动之间存在强烈的负相关。然而，我们还观察到，利差和财政部波动之间的相关性最近发生逆转，这可能归因于美联储正在进行的量化宽松。我们还发现，银行业的短期有效持续时间现在明显低于历史模式所显示的水平。我们的发现与信贷投资组合经理考虑利率上升和国债曲线变陡对公司债券投资组合的影响有关。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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