CREDIT SPREAD ARBITRAGE IN EMERGING EUROBOND MARKETS - In the corporate emerging Eurobond fixed-income market there are two main sources of credit risk: Sovereign risk and the relative credit quality of issuers of the eurobonds. This article presents a model to estimate, in a one-step procedure, both the term structure of interest rates and the credit spread function of a diversified international ...
Year of publication: |
2000
|
---|---|
Authors: | Rodrigues De Almeida, Caio Ibsen ; Duarte Jr, Antonio Marcos ; Coelho Fernandes, Cristiano Augusto |
Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 10.2000, 3, p. 100
|
Saved in:
Saved in favorites
Similar items by person
-
PORTFOLIO STRATEGIES - A Scenario-Based Approach to Optimal Currency Overlay
Duarte Jr, Antonio Marcos, (1999)
-
ROBUST HEDGING USING FUTURES CONTRACTS WITH AN APPLICATION TO EMERGING MARKETS
Duarte Jr, Antonio Marcos, (1998)
-
Restricted Kalman filtering revisited
Pizzinga, Adrian, (2008)
- More ...