Mastering Attribution in Finance

6

An overview of fixed income risks

6.1 Introduction

6.2 What is a bond?

6.3 Pricing conventions

6.4 Maturity

6.5 Coupons

6.6 Discounted cash flows and net present value

6.7 Pricing a bond from its discounted cash flows

6.8 Bond yield and carry return

6.9 Prices and yields

6.10 Return of a bond

6.11 Credit effects

6.12 The three Cs

6.1 INTRODUCTION

Our discussion of attribution starts with an overview of bonds, showing how they are priced, what risks drive their valuation and how the effects of these risks can be used to calculate attribution returns.

A bond is a very common type of fixed income security, and illustrates most of the effects that are measured by fixed income attribution. Understanding how to perform attribution on a bond ...