We are delighted to welcome you to Quantess’ December 2020 seminar with Dr. Marielle de Jong. This will be our first seminar held online, and will take place on Zoom on December 3rd at 6.30pm. Marielle will be presenting a presentation on her paper, co-authored with Frank J. Fabozzi, titled “From ad hoc bond-risk measures to variance-covariance forecasts”. Please book your tickets on Eventbrite here.
It is common practice among investors to assess the risks of a fixed-income investment by looking at certain bond characteristics, in particular at the duration, which provides insight on a bond’s contribution to the interest-rate risk of a portfolio and at the credit spreads, which provides information about credit risks. It is not trivial how to link these measures together so as to obtain one forecast for the overall price behavior of a bond and bond portfolio. Although the popular method of taking products, the so-called duration-times-spreads is effective and superior to using spread duration, this method stops short of delivering complete risk estimates. In this paper, we propose a method that does provide a complete risk estimate, and describe how bond characteristics can be converted into return variance and covariance forecasts.
Marielle is associate professor in finance at the Grenoble Ecole de Management in France since October 2020. She lectures in the field of investment management, fixed-income analysis, sustainable investing and quantitative methods in finance. She is editor of the Journal of Asset Management since January 2018.
She has worked in the investment industry for 25+ years. From 2011 to 2020 she headed the fixed-income quant research team at Amundi, carrying out studies and publishing her work on a regular basis. From 1997 to 2010 she worked for Sinopia, a former subsidiary of HSBC, where she was vice-president of the financial engineering team. She started her career in London, where she was research analyst with BARRA and fund manager with Quaestor, a former subsidiary of Yasuda.
She holds an MSc in econometrics from the Erasmus University Rotterdam, an MSc in operations research from Cambridge University (UK), and a PhD in finance from the University of Aix-Marseille, which she defended in 2010.