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‘Capturing all the risk embodied in a complex
portfolio is impossible using only one parameter’
Ahmed Talhaoui, CSAM |
The risk/return trade-off
11 December, 2003
In order to efficiently manage risk in a fixed income market, one must
first understand how to measure it. The introduction of an expanding
range of more complex fixed income instruments, each with its own
individual risk characteristics, is challenging the traditional asset
allocation and risk management strategies employed by fund managers.
Developing successful strategies to invest in more “specialist” asset
classes such as emerging markets, convertibles and high yield, as well
as more traditional fixed income securities, requires both an in-depth
knowledge of these new instruments, and, crucially, the expertise to
understand and control the risks therein.