The discovery of factors in fixed income

Press review Enterprising Investor - CFA Institute "In Bond Pricing and Yield Curve Modeling: A Structural Approach, Riccardo Rebonato, professor of finance at the EDHEC Business School and the EDHEC-Risk Institute, combines theory with current empirical evidence to build a robust understanding of what drives the government bond market. The book provides the theoretical foundations (no-arbitrage, convexity, expectations, and affine modeling) for a treatment of government bond markets, presents and discusses the vast amount of empirical findings that have appeared in the finance literature in the past 10 years, and introduces the “structural” models used by central banks, institutional investors, academics, and practitioners to, among other things, model the yield curve, answer policy questions, gauge market expectations, and assess investment opportunities." Copyright Enterprising Investor - CFA Institute https://blogs.cfainstitute.org/investor/2019/07/19/book-review-bond-pricing-and… 2019