CDS 在债券投资组合管理中的应用

IF 1.5 Q3 BUSINESS, FINANCE Journal of Asset Management Pub Date : 2024-09-14 DOI:10.1057/s41260-024-00369-w

Johan Duyvesteyn, Marielle de Jong, Frank J. Fabozzi, Patrick Houweling, Lodewijk van der Linden

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引用次数: 0

摘要

本文阐述了信用违约掉期（CDS）在管理债券投资组合中的两种基本用途。这两种应用包括在买入并持有策略中使用 CDS，以优化投资组合的回报风险曲线；以及使用 CDS 指数有效复制公司债券回报。对每种应用都进行了深入研究，展示了 CDS 如何作为一种多功能工具，在降低信用风险的同时争取更高回报。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Applications of CDS to bond portfolio management

This article illustrates two fundamental uses of credit default swaps (CDS) in managing bond portfolios. The applications include CDSs in a buy-and-hold strategy to optimize a portfolio’s return-to-risk profile and employing CDS indices to efficiently replicate corporate bond returns. Each application is thoroughly examined, demonstrating how CDS can serve as a versatile tool for mitigating credit risk while striving for higher returns.

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来源期刊

Journal of Asset Management BUSINESS, FINANCE-

CiteScore

4.10

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0.00%

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期刊介绍： The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics

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