Fixed Income Attribution Model
$25
This paper proposes a flexible fixed income attribution model that can be adapted to a large range of investment processes. The StatPro return breakdown model can fit a very large range of fixed income investment processes. Pricing techniques are used to understand the impact bond-specific factors have on security returns.
Author: Mathieu Cubilie
This paper proposes a flexible fixed income attribution model that can be adapted to a large range of investment processes. The StatPro return breakdown model can fit a very large range of fixed income investment processes. Pricing techniques are used to understand the impact bond-specific factors have on security returns.
