Balbas, Alejandro; Montagut, Esperanza H.; Fructuoso, … - Departamento de Economía de la Empresa, Universidad … - 2004
The paper considers bond portfolios affected by both interest-rate- and default-risk. In order to guarantee a correct performance of our analysis we will hedge against an infinite number of factors. Hence we do not have to impose and do not depend on any assumption concerning the dynamic...