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Research Articles by GULRAJANI Deepak

4 Published Papers

"Valuation and Risk Analysis of International Bonds," Chapter 35 of The Handbook of Fixed Income Securities, Fourth Edition, Frank J. Fabozzi (Ed.), Business One Irwin, Homewood, IL, 1995, pp. 733-749. ",

Topic: Investing (Investment Management) | Asset Class: Fixed Income | Show/Hide Details >>

This article presents approaches first for constructing valuation models for fixed-income securities and second for assessing the risk in portfolios of these assets. The linkages across markets in the form of currencies are also addressed in a manner which facilitates the analysis of risk by separating the local market aspects from those purely attributable to currency fluctuations.

Publication: The Handbook of Fixed Income Securities
Authors: GULRAJANI Deepak, MURPHY Brian P., WON David

"Risk and Return in the Canadian Bond Market", Journal of Portfolio Management, Spring 1993, pp. 86-93

Topic: Factor and Risk Modeling | Asset Class: Fixed Income | Show/Hide Details >>

The authors examine the many risk factors operating in the rapidly transforming Canadian bond market. They also present a multifactor risk model of the Canadian bond market, which provides a quantitative, accurate, and intuitive framework for analyzing Canadian bond portfolio risk.

Publication: Journal of Portfolio Management
Authors: GULRAJANI Deepak, KAHN Ronald N.

"Risk and Return in the Canadian Bond Market, Part II", Barra Newsletter, March/April 1993, p 9

Topic: Investing (Investment Management) | Asset Class: Equities | Show/Hide Details >>

In the last issue of the Barra Newsletter, we described a model which values and assesses the risk of Canadian Government bonds.(1) In this article, we will describe specific models developed for the other three sectors--Provincial, Corporate, and Municipal--of the Canadian bond market. These models are then integrated with the Canadian Government bond model to produce a comprehensive Canadian valuation and risk model broadly applicable to the Canadian domestic bond market. This article builds upon the Canadian term structure model described in Part I in the previous issue of the Barra Newsletter. Together, these articles provide a complete description of our Canadian bond valuation and risk model. The yield spread models described here provide a logical and accurate description of bond spreads. The models are built upon intuitive factors to provide an integrated and comprehensive framework for analyzing value and risk in the Canadian bond market.

Publication:
Authors: CHUI Benjamin P., GULRAJANI Deepak

"Risk and Return in the Canadian Bond Market", Barra Newsletter, January/February 1993, p1

Topic: Factor and Risk Modeling | Asset Class: Fixed Income | Show/Hide Details >>

We will present in this article a specific multifactor risk model of the Canadian bond market that we developed at Barra. First, we will describe the particular features of the Canadian bond market. Second, we will present a valuation model of the Canadian Government bond market that will identify and measure the various sources of risk, including the term structure and tax and liquidity factors. Third, we will describe the analysis of the historical variance and covariance of excess returns(4) to these factors, which will lead us to the risk model. Fourth, we will present quantitative results pertaining to the market. An article in the next issue of the Barra Newsletter will focus on the valuation and risk models of the Provincial and Corporate sectors of the Canadian bond market.

Publication:
Authors: GULRAJANI Deepak, KAHN Ronald N.

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