On the Diversification of Fixed Income Assets

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate and mortgage backed securities constitute large proportion assets institutional investors in most countries, it is important to be able determine number lines/issuers such assets, not only portfolio management but also purposes. The that I introduce shows dependence critical lines on main interest rate credit drivers. Specifically, examine importance volatility risk, force mean reversion, default recovery portfolio. methodology this paper relies use coefficient variation computation credit-sensitive To best my knowledge, first develop an approach.