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. ...