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Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management
In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be made part of sound risk and asset management in such a way as to improve the risk and return performance characteristics of managed portfolios.
Author(s) :
Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre
Professor of Finance and Scientific Director of the EDHEC Risk and Asset Management Research Centre
Research Engineer at the EDHEC Risk and Asset Management Research Centre
Presentation :
Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in pure asset management. Consequently, such strategies should optimally receive a significant allocation, especially when investors are concerned with minimising extreme risks. In asset-liability management, we also show that fixed-income derivatives in general, and recently launched long-term futures contracts in particular, offer significant shortfall risk reduction benefits. These results have potentially significant implications in the context of an increased focus on matching liability portfolios.| Type : | Working paper |
|---|---|
| Date : | le 05/03/2007 |
| Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC. |
| Research Cluster : | Finance |
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Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 20 business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
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