The level risk factor is defined as a long exposure on a long-maturity bond funded by the sale of a short bond expiring at the end of the investment period.
"THE QUANTS ARE BACK IN THEIR BILLIONS" - THE BUSINESS TIMES (10/07/2019)
"EDHEC-RISK INSTITUTE SAYS DURATION-TIMING STRATEGIES CAN WORK" - TRADERS MAGAZINE (24/05/2019)
"EDHEC-RISK INSTITUTE LAUNCHES FACTOR INVESTING RESEARCH IN BOND MARKETS RESEARCH PROGRAMME" - ETF STREAM (17/05/2019)
"FACTOR INVESTING IN BONDS SHOULD FOCUS ON TWO ADDITIONAL FACTORS" - MONEY MANAGEMENT (17/05/2019)
"FACTOR INVESTING IN FIXED INCOME : EDHEC-RISK INSTITUTE PAPER SHOWS THAT IT IS POSSIBLE TO BUILD DURATION-TIMING STRATEGIES THAT ARE ECONOMICALLY SUPERIOR TO BEARING UNCONDITIONAL DURATION RISK" - MONDOVISIONE (08/05/2019)
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
Marking the priority assigned by the School to sustainability issues and building on its research programmes exploring the relationships between climate change and finance, EDHEC-Risk Institute became EDHEC-Risk Climate Impact Institute in October 2022. The Institute's mission is to help private and public decision-makers manage climate-related financial risks and make the best use of the financial tools available to transition to low-emission and climate-resilient economies. The Institute’s research programmes explore the relationships between climate change and finance and our key ambition is to become a leading academic reference point for long-term investors, helping them to manage the asset-pricing implications of climate change as well as mitigation and adaptation efforts.