The interest risk factor is defined as a long exposure on a long-maturity bond funded by the sale of a short bond expiring at the end of the investment period.
"THE QUANTS ARE BACK IN THEIR BILLIONS" - THE BUSINESS TIMES (10/07/2019)
"EDHEC-RISK INSTITUTE SAYS DURATION-TIMING STRATEGIES CAN WORK" - TRADERS MAGAZINE (24/05/2019)
"EDHEC-RISK INSTITUTE LAUNCHES FACTOR INVESTING RESEARCH IN BOND MARKETS RESEARCH PROGRAMME" - ETF STREAM (17/05/2019)
"FACTOR INVESTING IN BONDS SHOULD FOCUS ON TWO ADDITIONAL FACTORS" - MONEY MANAGEMENT (17/05/2019)
"FACTOR INVESTING IN FIXED INCOME : EDHEC-RISK INSTITUTE PAPER SHOWS THAT IT IS POSSIBLE TO BUILD DURATION-TIMING STRATEGIES THAT ARE ECONOMICALLY SUPERIOR TO BEARING UNCONDITIONAL DURATION RISK" - MONDOVISIONE (08/05/2019)
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
Part of EDHEC Business School and established in 2001, EDHEC-Risk Institute has become the premier academic centre for industry-relevant financial research. In partnership with large financial institutions, its team of permanent professors, engineers, and support staff, and research associates and affiliate professors, implements seven research programmes and six research chairs, industrial partnerships and private research projects focusing on asset allocation and risk management. Additionally, it has developed an ambitious portfolio of research and educational initiatives in the domain of investment solutions for institutional and individual investors. As part of its “Make an Impact” signature, EDHEC-Risk plays a noted role in furthering applied financial research and systematically highlighting its practical uses.