Portfolio hedging

Discussion in 'Fixed Income (P1.T4 or P2.T5)' started by JohnnyBond, Feb 24, 2009.

  1. JohnnyBond

    JohnnyBond New Member


    I am trying to figure out a way to compare an entire portfolio of fixed income securities with a smaller set of securities. For instance, if a fixed income portfolio contains 100 securities with different maturites and coupons, it could be practical to compare the portfolio to 2-3 fixed income securities, so a trader would be able to confirm that his position is in line with his market views...

    I was told that some important institutions are already using that approach.

    I have surfed on the Internet but without any success.

    Do you have any idea where I could begin my search? Any books or websites would help.

    Thank you very much for your help.

  2. JohnnyBond:

    That that reminds me of several ideas, but maybe i don't know this procedure...

    It sounds like you may be referring to some variation "portfolio mapping;" e.g., where a bond portfolio might be mapped to a reduced number of risk factors (cash flow or duration vertices)?
    I wonder if this refers to a key rate duration (or duration vector) type model?
    Or, maybe principal component analysis (PCA)? If one of these terms sounds familiar, I could point you to resources(s)....David

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