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Primary Article

Managing Market Risk for an Emerging Market Debt Portfolio

Luis F. Martins, Constantin Petrov and Jonathan M. Kelly
The Journal of Portfolio Management Winter 2001, 27 (2) 75-90; DOI: https://doi.org/10.3905/jpm.2001.319794
Luis F. Martins
An analyst at Fidelity Investments in Boston (MA 02109).
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Constantin Petrov
An analyst at Fidelity Investments in Boston (MA 02109).
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Jonathan M. Kelly
A portfolio manager at Fidelity Investments in Boston (MA 02109).
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Abstract

Investors in the emerging debt market are exposed to a number of different types of risk, most importantly market risk. This article introduces a risk metric called beta spread duration (BSD), which is designed to measure aggregate market risk. BSD builds on two well–known metrics, beta and spread duration, and applies them to the emerging debt market. The authors demonstrate that BSD is a statistically significant measure of overall market risk and identify its limitations. They show that while market risk explains the majority of spread changes, individual country risk still matters. Indeed, they show that large changes in country risk can dominate overall market risk over shorter time frames while also exhibiting statistical significance over longer periods.

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The Journal of Portfolio Management
Vol. 27, Issue 2
Winter 2001
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Managing Market Risk for an Emerging Market Debt Portfolio
Luis F. Martins, Constantin Petrov, Jonathan M. Kelly
The Journal of Portfolio Management Jan 2001, 27 (2) 75-90; DOI: 10.3905/jpm.2001.319794

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Managing Market Risk for an Emerging Market Debt Portfolio
Luis F. Martins, Constantin Petrov, Jonathan M. Kelly
The Journal of Portfolio Management Jan 2001, 27 (2) 75-90; DOI: 10.3905/jpm.2001.319794
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