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IAP 2004 Activity

Risk Management in Emerging Market Debt
C.S Venkatakrishnan
Fri Jan 30, 10:30-12:00am, E40-106

No enrollment limit, no advance sign up
Single session event

Fixed income index returns are computed as a weighted average of index constituent returns where the weights correspond to the market value of the constituent. These market values are, in turn, closely associated with the amount of debt issuance. There is no guarantee that these indices provide a risk/return efficient approach to gaining market exposure. We discuss the case of traditional Emerging Market debt indices which are heavily weighted by certain countries and regions and discuss an optimization based approach to construct a new index which is risk-return efficient. We also examine a bootstrap based sampling strategy to help establish portfolio holding limits for exposure to debt from specific countries.
Contact: Kendell Timmers, ktimmers@mit.edu
Sponsor: Operations Research Center
Latest update: 23-Jan-2004

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