what is a credit barbell strategy?作者: NakedPuts2011 时间: 2011-7-13 14:19
It's a strategy where you are long a short term bond and an intermediate to long term bond. It will have more convexity than a similar one bond investment with the same effective duration.作者: jmh530 时间: 2011-7-13 14:19
both credit curves, both term structure and credit structure, are almost always positively sloped. in an effort to moderate portfolio risk, many portfolio managers take credit risk in short and intermediate maturities, and to substitute less-risky government securities in long-duration portfolio buckets. this strategy is called credit barbell strategy.
