Conceptual Frameworks For Performance Attribution and Risk Management Policy: A “Structuralist&


Author: Dr. Wesley Phoa

A framework for fixed income performance attribution and risk management policy must break down market risk into a fixed set of components, each with specific fixed relationships between them.  However, the author asserts that it is unclear how to best compare two different frameworkd that are internally consistent with observed market behavior, but which are inconsistent with each other.  He proposes that two frameworks be compared, not by reducing them to a common lower level of "economic reality," but by identifying parallels on a structural level.  He gives concrete examples.

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