Fixed Income Indices, Markets, and the Yield Book
Center for Financial Studies Industry Speaker Series
Dr. Ernest Battifarano, Managing Director for
Yield Book and Citi Fixed Income Indices
We will discuss Yield Book, Citi’s premier fixed income portfolio analytics system, Yield Book’s University Partnership Program, and Citi Fixed Income Indices (CFII). Brief histories of Yield Book and Yield Book’s University Partnership are presented. Yield Book’s evolution in Salomon Brothers, from expense give-away to a modest profit center, is described. We discuss the World Government Bond Index, CFII’s most widely tracked index, in the context of the financial crisis and how fundamental weighting of countries in the index may direct investors to countries most likely to repay debt.
Dr. Ernest Battifarano is the managing director for Yield Book and Citi Fixed Income Indices at Citigroup. He serves as the head of Citi’s Fixed-Income Index Strategy. Dr. Battifarano has been a managing director for Citigroup Global Markets for over 24 years. He has also managed the Yield Book University Partnership Program since 2001. Dr. Battifarano received his Ph.D. in mathematics from the Courant Institute of Mathematical Sciences at New York University in 1984. He has served on the faculty of Mathematics at New Jersey Institute of Technology.