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2022
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[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 10 [Issue:] 2 [Article No.:] 31 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-21
Verlag: 
MDPI, Basel
Zusammenfassung: 
This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is important to be able to determine the number of lines/issuers of such assets, not only for portfolio management but also for risk management purposes. The approach that I introduce shows the dependence of the critical number of lines of fixed income assets on the main interest rate risk and credit risk drivers. Specifically, I examine the importance of volatility risk, force of mean reversion, default risk, recovery risk, and default dependence risk on the critical number of assets in a fixed income portfolio. The methodology in this paper relies on the use of the coefficient of variation for the computation of the critical number of credit-sensitive securities in a fixed income portfolio. To the best of my knowledge, this paper is the first to develop such an approach.
Schlagwörter: 
diversification
interest rate risk
credit risk
asset-liability management
corporate bonds
fixed income
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