Fixed Income Attribution Model

$25.00

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.

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