Global fixed income duration timing strategies

Cappelloni, Giulio (A.A. 2019/2020) Global fixed income duration timing strategies. Tesi di Laurea in Fixed income, credit and derivatives, Luiss Guido Carli, relatore Alberto Adolfo Cybo-Ottone, pp. 66. [Master's Degree Thesis]

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The bond risk premium. Bond risk premium: introduction and terminologies. Theories behind the bond risk premium. Estimating the bond risk premium. The impact of convexity on the yield curve shape. Duration timing strategies. Which variables forecast changes in long-term interest rates? The signal strategy. Combining the signals.


Bibliografia: pp. 48-52.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Fixed income, credit and derivatives
Thesis Supervisor: Cybo-Ottone, Alberto Adolfo
Thesis Co-Supervisor: Langer, Marshall
Academic Year: 2019/2020
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 14 May 2021 12:37
Last Modified: 14 May 2021 12:37


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