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Governed by the cycle : direct and inverted interest-rate sensitivity of emerging market corporate debt

Gubareva, Mariya; Borges, Maria Rosa - 2016

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Interest rate (in)sensitivity of emerging market corporate debt : economic analysis based on 2002-2015 empirical evidence

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Switching interest rate sensitivity regimes of US corporates

Gubareva, Mariya; Borges, Maria Rosa - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-25

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Binary interest rate sensitivities of emerging market corporate bonds

Gubareva, Mariya; Borges, Maria Rosa - In: The European journal of finance 24 (2018) 17, pp. 1569-1586

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Interest rate, liquidity, and sovereign risk : derivative-based VaR

Gubareva, Mariya; Borges, Maria Rosa - In: Journal of risk finance : the convergence of financial … 18 (2017) 4, pp. 443-465

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Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk

Gubareva, Mariya; Borges, Maria Rosa - In: Analytical models for financial modeling and risk management, (pp. 71-100). 2018

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Governed by the cycle : interest rate sensitivity of emerging market corporate debt

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Persistent link: https://www.econbiz.de/10013342081

Interest rate, liquidity, and sovereign risk: derivative-based VaR

Gubareva, Mariya; Borges, Maria Rosa - In: The Journal of Risk Finance 18 (2017) 4, pp. 443-465

Purpose The purpose of this paper is to study connections between interest rate risk and credit risk and investigate the inter-risk diversification benefit due to the joint consideration of these risks in the banking book containing sovereign debt. Design/methodology/approach The paper develops...

Persistent link: https://www.econbiz.de/10014901848