by Christian Stolborg, Jens Dick-Nielsen, Peter Feldhütter
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Suggested foundations for rates and fixed income and asset pricing and factor research. Specialist prerequisites vary by paper.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.
Connect factor definitions to portfolio construction.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.