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OPTIMAL TRACKING OF CORPORATE BOND INDICES

机译：公司债券指数的最佳追踪

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摘要

In this paper, we provide an optimization and simulation framework allowing corporate bond portfolio managers to follow or outperform a given benchmark index with the help of only a small set of bonds. The underlying bond pricing model integrates the main sources of risks, such as market or credit risk. Correlated stochastic interest rates and credit spreads, independent rating migrations, based on empirical transition matrices, are incorporated in a unified intensity-based pricing framework. However, contrary to the traditionnal approach, we avoid the use ofMonte-Carlo simulations by deriving the explicit price distribution of a corporate coupon bond. Based upon the bond pricing model, we formulate and solve a one period tracking error problem as a linear program. Multiple optimization constraints allow to accurately manage and control the credit risk. Empirical results obtained by dynamically replicating the JPMorgan Aggregated Euro Credit Index over a five year recent period substantiate the conclusions of this paper.
机译：在本文中，我们提供了一个优化和模拟框架，使公司债券投资组合经理可以在仅一小部分债券的帮助下遵循或超越给定的基准指数。基本债券定价模型整合了主要风险来源，例如市场或信用风险。相关的随机利率和信用利差，基于经验过渡矩阵的独立评级迁移被合并到基于强度的统一定价框架中。但是，与传统方法相反，我们通过得出公司票息债券的明确价格分布来避免使用蒙特卡罗模拟。基于债券定价模型，我们制定并解决了一个周期跟踪误差问题的线性程序。多个优化约束可以精确地管理和控制信用风险。通过动态复制摩根大通欧洲信用综合指数在最近五年中获得的经验结果证实了本文的结论。

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