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Mastering Attribution in Finance by Andrew Colin

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23

Popular attribution models

23.1 The Campisi model

23.2 Duration attribution

23.3 The Tim Lord model

23.4 Key rate attribution

23.5 Top-down attribution

In this chapter I describe a number of widely used fixed income attribution models. Attribution approaches are often described in terms of one or other of these models.

23.1 THE CAMPISI MODEL

The Campisi model was first proposed in a paper published by Stephen Campisi (Campisi, 2000). It is perhaps the simplest possible security-level model for fixed income attribution (see Figure 23.1).

Figure 23.1 Breakdown of effects in the Campisi model

Figure 23.1 Breakdown of effects in the Campisi model

The Campisi model can be applied at the portfolio, ...

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