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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Abstract/Index
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.
References
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 |
| URI: | https://tesi.luiss.it/id/eprint/29482 |
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