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]


jeudi 30 novembre 2023

Colloques et Workshops

Workshop on gender issues and development

jeudi 30 novembre 2023


Aurélien SAÏDI

Household heterogeneity in macroeconomic models: A historical perspective

jeudi 30 novembre 2023

Développement Durable Environnement et Energie (DDEE)

François Bareille (INRAe/PSAE)

Salle 614B de 11h – 12h

Valuing climate change costs in presence of climate-induced land use changes

mardi 5 décembre 2023

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Clément Fontan (UC Louvain)

The ECB and the inflation monsters: strategic framing and the responsibility imperative (1998-2023)

jeudi 7 décembre 2023

Groupe de travail Economie Comportementale

Vincent Lenglin (Université Catholique de Lille)


jeudi 7 décembre 2023


Emmanuelle Faure

Explaining economic performances in the French employment zone: spatial externalities and related variety

lundi 11 décembre 2023

Law, Institutions and Economics in Nanterre (LIEN)

Bastien Michel (LEMNA, Nantes)

Measuring the Impact of Incarceration on Recidivism in Denmark

mercredi 13 décembre 2023

Économies du monde musulman

Chahir Zaki (LEO, Université d’Orléans)

Dette en Egypte : conjoncture défavorable ou structure vulnérable ?

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