This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

In a no-arbitrage framework, any variable that affects the pricing of the domestic yield curve
has the potential to predict foreign exchange risk premiums. The most widely used interest …

PHILIPPE PRIAULET is a derivatives strategist at HSBC-CCF in Paris and associate
professor of mathematics at the University of Evry Val d'Essonne in Evry, France. philippe …

Cochrane and Piazzesi [Cochrane, JH, Piazzesi, M., 2005. Bond risk premia. American
Economic Review 95, 138–160] use forward rates to forecast future bond returns. We extend …

Bond carry is the expected return on a bond when the yield curve does not change. The
curve carry strategy within each country constructs buckets based on bond maturities on a …

Volatility risk, credit risk, value effect, and momentum are major return drivers in the fixed-
income universe. This study offers a four-factor pricing model for international government …

Excess bond returns in developed markets are predictable using factors like bond
momentum, equity momentum and term spread. We show the same factors can also predict …

We use 70 years of international data from the major bond markets to examine bond return
predictability through in-sample and out-of-sample tests. Our results reveal economically …

We examine the risk and return characteristics of fundamental weighting schemes for
developed, emerging, and frontier government bond markets and compare these to market …

This book covers various topics related to credit risks. The last couple of years was driven by
a volatile and changing world of corporate bonds. Strategic asset allocation for corporate …