Unité mixte de recherche 7235

The Risk Parity Principle applied on a Corporate Bond Index using Duration Times Spread

Lauren Stagnol

[en]In this paper, we apply the principle of Equal Risk Contribution (ERC) to a corporate bond index, an asset class so far left behind in this literature. Specifically, we rely on the Duration Time Spread (DTS) and demonstrate that it is an coherent metric for bond risk. We construct indexes based on sector – issuer – and bond level using structured block correlation matrices, weights being inversely proportional to DTS. Our results provide evidence that applying ERC using DTS in the index design significantly improves corporate bond index risk-adjusted returns. It appears that the higher the granularity is, the higher will be the risk adjusted performance enhancements. More generally, the ERC application we present appears to be a valuable trade-off between heuristic and more complex risk-modeling based weighting schemes.[/en]

AGENDA

lundi 12 juin 2023

Law, Institutions and Economics in Nanterre (LIEN)

Arthur Silve (IAST / Univ. Laval)

TBA

jeudi 15 juin 2023

Lunch

Guillaume Pierné

TBA

lundi 19 juin 2023

Law, Institutions and Economics in Nanterre (LIEN)

Juan Mora-Sanguinetti (Banco de Espana)

TBA

mardi 20 juin 2023

Colloques et Workshops

Webinar TELE –Theoretical European Law & Economics

mardi 20 juin 2023

When should non-performance of contracts be excused under changed circumstances?

Henrik Lando (Copenhagen Business School, Denmark)

1:30 pm to 2:45 pm (Paris time)

When should non-performance of contracts be excused under changed circumstances?

jeudi 22 juin 2023

Doctorants

Mathilde Aubouin

Distributional Effect of Environmental Regulation of Mobile Data

vendredi 1 septembre 2023

Professeurs invités

Ken Yahagi

lundi 18 septembre 2023

Colloques et Workshops

L’économie de la régulation entre intérêt public et intérêts privés : capture, conflits d’intérêts et revolving doors

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