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Analyzing Credit Alpha in an Integrated Risk and Performance Analysis
Oct 30, 2015
This Product Insight focuses on fixed income attribution and illustrates how an integrated risk and performance analysis can be carried out with BarraOne, for a corporate bond portfolio invested using a credit value strategy. The effectiveness of the analysis is illustrated in an important "real world" use case, showing how investors can analyze strategies which target the credit alpha coming from exposure to spread risk.
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Research authors
- András Bohák, Executive Director, Risk Management and Liquidity Core Research
- Nicholas Sharp
- Zsolt Simon