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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.

The Handbook of Fixed Income Securities, Ninth Edition 9th Edition


by Frank Fabozzi (Author), Steven Mann (Author)

Factor Investing in Fixed-Income – Defining and Exploiting Value in Sovereign Bond Markets


Jean-Michel Maeso, Lionel Martellini, Riccardo Rebonato

Factor Investing in Sovereign Bond Markets – A Time-Series Perspective


Jean-Michel Maeso, Lionel Martellini, Riccardo Rebonato

Risk-Based and Factor Investing


Noël Amenc, Felix Goltz, Ashish Lodh, Romain Deguest, Lionel Martellini, Eric Shirbini

Related Securities and Equity Market Quality: The Case of CDS


Ekkehart Boehmer, Sudheer Chava, Heather E. Tooke

A Binomial-Tree Model for Convertible Bond Pricing


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

Bond Liquidity Premia


Jean-Sébastien Fontaine, René Garcia

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


Lionel Martellini, Jean-Christophe Meyfredi

Derivatives Strategies for Bond Portfolios


Felix Goltz, Lionel Martellini, Volker Ziemann.

Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies


Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet

From Delivering to the Packaging of Alpha


Noël Amenc, Philippe Malaise, Lionel Martellini

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


Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet

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


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

Be Active with your Bond Trackers


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

Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies


Lionel Martellini, Philippe Priaulet, Stéphane Priaulet