2 votes

Allocating bond PnL in a similar way to swaps

One method I have used is described below (adapted Einstein notation, repeated indices are summed). First, segregate the list of bonds by Issuer curve, so that the same analysis can be repeatedly ...
Attack68's user avatar
  • 9,939
1 vote

Allocating bond PnL in a similar way to swaps

I will discuss a bond P&L explanation methodology, based on multiple papers by Tomasz Bielecki and by Duffie and Singleton, that many in the industry use successfully for credit-risky bonds and ...
Dimitri Vulis's user avatar
1 vote

Dendrogram/cluster analysis of correlation matrix

To summarize, you're attempting to create statistical 'sectors' in lieu of more standard equity classifications (eg, GICS, ICB)? It's something you can do, though to be frank, it's likely a fools-...
Chris's user avatar
  • 1,643

Only top scored, non community-wiki answers of a minimum length are eligible