Valuation of Structured Fixed Income Portfolios
Bonds embedded with exotic derivatives are called "structured bonds". Since valuation and risk analysis associated with these bonds are essential, we provide mark–to–market valuation service and risk analysis service for such structured bonds. Analytic service includes scenario based estimation of expected return for the entire portfolio consisting of traditional assets and structured bonds, construction of policy asset mix, and construction of transition strategy from the current portfolio to the policy asset mix.
- Simulation of future value fluctuations(image)
- 80% confidence interval under the coupon simulation(image)