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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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CHAPTERFIFTY-FIVEMANAGING THE SPREAD RISK OF CREDIT PORTFOLIOS USING THE DURATION TIMES SPREAD MEASURE

ARIK BEN DOR, PH.D.

Director, Barclays Capital

LEV DYNKIN, PH.D.

Managing Director, Barclays Capital

JAY HYMAN, PH.D.

Managing Director, Barclays Capital

The standard presentation of the asset allocation in a portfolio or a benchmark is in terms of percentage of market value. It is widely recognized that this is not sufficient for fixed income portfolios, where differences in duration can cause two portfolios with the same allocation of market weights to have extremely different exposures to macro-level risks. As a result, fixed income portfolio managers have become accustomed to expressing their allocations in terms of contributions to duration—the ...

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