Calculating Interest Rate Factor Exposures

Topics:
Investment and Capital Markets
Tags:
Barra,
Barra Fixed Income Risk Model,
Finance,
Financial Planning,
Financial Services,
Free Trade,
Interest Rate,
Investment,
Structure
Source:
Barra

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Overview: This brief paper defines the calculation of return due to term structure changes and return due to spread changes in the Barra Fixed Income Risk Model. The Barra fixed income risk model ascribes bond returns to two types of local market risk factors (aside from exchange rates). They are return due to term structure changes and return due to spread changes.

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Format: PDF | Size: 25KB | Date: Jul 2001 | Pages: 1

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