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The Handbook of Fixed Income Securities, Eighth Edition, 8th Edition by Steven V. Mann, Frank J. Fabozzi

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CHAPTERFORTY-EIGHTHEDGING INTEREST-RATE RISK WITH TERM-STRUCTURE FACTOR MODELS

LIONEL MARTELLINI, PH.D.

Professor of FinanceEDHEC Business SchoolScientific Director, EDHEC Risk Institute

PHILIPPE PRIAULET, PH.D.

Head of Fixed Income Sales for Shareholders Networks NatixisAssociate ProfessorMathematics DepartmentUniversity of Evry Val d’Essonne

FRANK J. FABOZZI, PH.D., CFA, CPA

Professor of FinanceEDHEC Business School

Portfolio managers seek to control or hedge the change in the value of a bond position or a bond portfolio to changes in risk factors. The relevant risk factors can be classified into two types: term-structure risk factors and non-term-structure risk factors. The former risks include parallel and nonparallel shifts in the term structure. ...

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