Narrow search
Showing 1 - 10 of 51
Cover Image
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
Cover Image
Bond portfolio optimization : a risk-return approach
Korn, Olaf; Koziol, Christion - In: The journal of fixed income 15 (2006) 4, pp. 48-60
Persistent link: https://www.econbiz.de/10003339406
Cover Image
A simple empirical model of equity-implied probabilities of default
Altman, Edward I.; Fargher, Neil; Kalotay, Egon - In: The journal of fixed income 20 (2010/11) 3, pp. 71-85
Persistent link: https://www.econbiz.de/10008858607
Cover Image
A copula approach to value-at-risk estimation for fixed-income portfolios
Martellini, Lionel; Meyeredi, Jean-Christophe - In: The journal of fixed income 17 (2007) 1, pp. 5-15
Persistent link: https://www.econbiz.de/10003502367
Cover Image
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
Cover Image
Anisotropic credit scheme for municipal revenue bonds
Parnes, Dror - In: The journal of fixed income 20 (2010/11) 4, pp. 91-99
Persistent link: https://www.econbiz.de/10009007988
Cover Image
On the Basel Accord's inverse relationship between default probability and asset correlation : an empirical study
Blümke, Oliver - In: The journal of fixed income 25 (2015) 2, pp. 38-47
Persistent link: https://www.econbiz.de/10011399847
Cover Image
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
Cover Image
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
Cover Image
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