Fixed-income investing is a strategic area of development for EDHEC-Risk Institute, with a number of increasing relevant questions for investors, including smart harvesting of interest rate and credit risk premia, the impact of a zero-interest rate environment on bond portfolio management, or efficient interest rate risk management in retirement investing solutions.

This research programme is led by some of the world’s very best experts in the area of fixed-income securities, including with Riccardo Rebonato – a world leading expert in interest rate risk modelling and management, Frank J. Fabozzi – author and editor of over 100 reference textbooks in finance, and the eponymous manager of an authoritative series of finance books for practitioners and academics in numerous fields including fixed income analytics, financial modelling, mortgage-backed securities, municipal bonds, credit derivatives, and financial statement analysis, Dominic O’Kane – a specialist in credit modelling, derivative pricing and risk-management who was Head of Fixed Income Quantitative Research for nine years at Lehman Brothers, and Lionel Martellini – who has co-authored reference textbooks in fixed-income investment strategies.

The research programme has benefitted from the support of Banque de France Gestion in the context of a research chair on the benefits of scientific and naive diversification for sovereign and corporate bond portfolios. It also benefits from the support of Amundi in the context of a research chair on ETF, Index and Smart Beta Investment Strategies, and PIMCO in the context of a research chair on time-series and cross-sectional results of bond risk premia.


Related Securities and Equity Market Quality: The Case of CDS

2013

Ekkehart Boehmer, Sudheer Chava, Heather E. Tooke


A Binomial-Tree Model for Convertible Bond Pricing

2013

Krasimir Milanov, Ognyan Kounchev, Frank J. Fabozzi, Young Shin Kim, Svetlozar T. Rachev


Bond Liquidity Premia

2011

Jean-Sébastien Fontaine, René Garcia


A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios

2007

Lionel Martellini, Jean-Christophe Meyfredi


Derivatives Strategies for Bond Portfolios

2006

Felix Goltz, Lionel Martellini, Volker Ziemann.


From Delivering to the Packaging of Alpha

2005

Noël Amenc, Philippe Malaise, Lionel Martellini


Exploiting Predictability in the Time-Varying Shape of the Term Structure of Interest Rates

2005

Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet


The Benefits of Bond ETFs for Institutional Investors - The Natural Vehicle for a Core-Satellite Approach

2004

Noël Amenc, Philippe Malaise, Lionel Martellini, Jean-René Giraud


Be Active with your Bond Trackers

2004

Noël Amenc, Jean-René Giraud, Philippe Malaise, Lionel Martellini