Constructing a Credit Value Strategy using the BarraOne Optimizer

Jun 26, 2017

This document presents a case study describing the specific workflow used to set up the credit value strategy discussed in the paper Navigating Central Bank Intervention in Corporate Bond Markets  (opens in a new tab)(Sparks and Sharp 2017). It futher analyzes the impact of the European Central Bank's corporate bond program from the perspective of a hypothetical asset manager pursuing a credit value strategy in euro-denominated corporate debt.