Bond Risk Assessment from Fundamental Analysis to Portfolio Optimization

The present Master Thesis is focused on the analysis of bond risk from multiple perspectives using different tools in two phases. The first step concerns the evaluation of Credit Risk through a thorough assessment of companies' businesses. Evaluations of different aspects of firms are integrated in a scoring model to determine the overall company's financial soundness and consequently its creditworthiness. The second phase regards the application of quantitative optimization models, Mean-Variance Markowitz approach and Mean-CVaR, to fixed income portfolios. The purpose of the work is to investigate the suitability of those models, originally meant to be applied to equities, to bond portfolios and their potential utility for customers' portfolios' allocation. The mathematical optimization procedure is implemented through MatLab programming.