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The Shifting Drivers of Global Liquidity
Avdjiev, Stefan - 2017
The post-crisis period has seen a considerable shift in the composition and drivers of international bank lending and international bond issuance, the two main components of global liquidity. The sensitivity of both types of flows to U.S. monetary policy rose substantially in the immediate...
Persistent link: https://www.econbiz.de/10012953062
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The Shifting Drivers of Global Liquidity
Avdjiev, Stefan - 2017
The post-crisis period has seen a considerable shift in the composition and drivers of international bank lending and international bond issuance, the two main components of global liquidity. The sensitivity of both types of flow to US monetary policy rose substantially in the immediate...
Persistent link: https://www.econbiz.de/10012954014
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The shifting drivers of global liquidity
Avdjiev, Stefan; Gambacorta, Leonardo; Goldberg, Linda S.; … - 2017
The post-crisis period has seen a considerable shift in the composition and drivers of international bank lending and international bond issuance, the two main components of global liquidity. The sensitivity of both types of flows to U.S. monetary policy rose substantially in the immediate...
Persistent link: https://www.econbiz.de/10011671045
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General principles of bond valuation
Fabozzi, Frank J.; Mann, Steven V. - 2008
Persistent link: https://www.econbiz.de/10003765585
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The search for relative value in bonds
Grieves, Robin; Mann, Steven V. - In: Financial markets and portfolio management 25 (2011) 1, pp. 95-106
Persistent link: https://www.econbiz.de/10008989878
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The handbook of fixed income securities
Fabozzi, Frank J. (contributor); Mann, Steven V. (contributor) - 2012 - 8. ed.
Persistent link: https://www.econbiz.de/10009428151
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The handbook of fixed income securities
Fabozzi, Frank J. (contributor); Mann, Steven V. (contributor) - 2005 - 7. ed.
Persistent link: https://www.econbiz.de/10002166116
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Overview of the types and features of fixed income securities
Fabozzi, Frank J.; Ferri, Michael G.; Mann, Steven V. - In: The handbook of fixed income securities, (pp. 3-20). 2005
Persistent link: https://www.econbiz.de/10003054101
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General principles of bond valuation
Fabozzi, Frank J.; Mann, Steven V. - In: The theory and practice of investment management, (pp. 501-524). 2002
Persistent link: https://www.econbiz.de/10001730099
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Default Correlation and Bond Portfolio Management
Li, Ping - 2010
In this paper we examine the effect of default correlation on the price, duration and convexity of a bond portfolio. We … use Clayton copula and t copula to characterize the default dependence structure. Our main result shows that, under these … two types of default dependence structure, while the marginal distribution of time to default is an important determinant …
Persistent link: https://www.econbiz.de/10013139159