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Integrating market and credit risk using a simplified frailty default correlation structure
Kuo, Cheng-kun; Lee, Chih-Wei - In: The journal of fixed income 17 (2007) 1, pp. 48-58
Persistent link: https://www.econbiz.de/10003502386
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The effect of ratings announcements, on firms in bank-based systems
Kiesel, Florian; Schiereck, Dirk - In: The journal of fixed income 24 (2015) 4, pp. 84-95
Persistent link: https://www.econbiz.de/10011293454
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Are liquidity and counterparty risk priced in the credit default swap market?
Pu, Xiaoling; Wang, Junbo; Wu, Chunchi - In: The journal of fixed income 20 (2010/11) 4, pp. 59-79
Persistent link: https://www.econbiz.de/10009007990
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Hedge fund risk factors and the value at risk of fixed income trading strategies
Loudon, Geoffrey F.; Okunev, John; White, Derek - In: The journal of fixed income 16 (2006) 2, pp. 46-61
Persistent link: https://www.econbiz.de/10003400072
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The reaction of term structure of interest rates to monetary policy actions
Goukasian, Levon; Cialenco, Igor - In: The journal of fixed income 16 (2006) 2, pp. 76-91
Persistent link: https://www.econbiz.de/10003400093
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Value at risk for corporate bond portfolios
Venkatesh, P. C. - In: The journal of fixed income 13 (2003) 2, pp. 19-32
Persistent link: https://www.econbiz.de/10001803142
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Modeling of mortgage defaults
Hayre, Lakhbir S.; Saraf, Manish; Young, Robert; Chen, … - In: The journal of fixed income 17 (2007) 4, pp. 6-30
Persistent link: https://www.econbiz.de/10003729806
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Theslope of credit spread curves
Huang, Jing-Zhi; Zhang, Xiongfei - In: The journal of fixed income 18 (2008/09) 1, pp. 56-71
Persistent link: https://www.econbiz.de/10003757571
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Valuing fixed rate mortgage loans with default and prepayment options
Dunsky, Robert M.; Ho, Thomas S. Y. - In: The journal of fixed income 16 (2007) 4, pp. 7-31
Persistent link: https://www.econbiz.de/10003457011
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Information effects of bond rating changes : the role of the rating prior to the announcement
Jorion, Philippe; Zhang, Gaiyan - In: The journal of fixed income 16 (2007) 4, pp. 45-59
Persistent link: https://www.econbiz.de/10003457021