Empirical duration is likely the best measure of the impact of yield changes on portfolio value, especially

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Empirical duration is likely the best measure of the impact of yield changes on portfolio value, especially under stressed market conditions, for a portfolio consisting of:

A. 100% sovereign bonds of several AAA rated euro area issuers.

B. 100% covered bonds of several AAA rated euro area corporate issuers.

C. 25% AAA rated sovereign bonds, 25% AAA rated corporate bonds, and 50% highyield (i.e., speculative-grade) corporate bonds, all from various euro area sovereign and corporate issuers.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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