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Bond-Valuation and Default-Risk Re-examined : A Post Reduced-Form Model Based on Integer Migration and Portfolio Migration

Barnard, Brian - 2019

The study re-examines bond valuation and default risk, by considering and relaxing assumptions regarding integer rating migration, and portfolio rating migration, and consequently the implied degree of diversification. A reduced form model, based on (a) rating migration (matrix), serve as basis...

Persistent link: https://www.econbiz.de/10012865898

A general equilibrium model of exchange risk, country risk, and international capital market risk

Ivanchuk Bibbee, Alexandra I. - 1988

Persistent link: https://www.econbiz.de/10000781623

Immunization in markets with tax clientele effects : evidence from the Canadian market

Prisman, Eliezer Zeev; Tian, Yisong Sam - 1992

Persistent link: https://www.econbiz.de/10000877751

Do syndicated loans influence systemic risk? : an empirical analysis of the Canadian syndicated loan market

Drapeau, Line; Champagne, Claudia - In: Review of economics & finance 5 (2015) 4, pp. 22-41

Persistent link: https://www.econbiz.de/10011411142

Optimal asset allocation towards the end of the life cycle : to annuitize or not to annuitize?

Milevsky, Moshe Arye - In: The journal of risk and insurance : the journal of the … 65 (1998) 3, pp. 401-426

Persistent link: https://www.econbiz.de/10001352160

Canadian consumption and portfolio shares

Normandin, Michel; St.-Amour, Pascal - In: The Canadian journal of economics 35 (2002) 4, pp. 737-756

Persistent link: https://www.econbiz.de/10001726284

Bivariate GARCH estimation of the optimal hedge ratios for stock index futures : a note

Park, Tae H. - In: The journal of futures markets 15 (1995) 1, pp. 61-67

Persistent link: https://www.econbiz.de/10001178117

Stein and CAPM estimators of the means in asset allocation

Grauer, Robert R. - In: International review of financial analysis 4 (1995) 1, pp. 35-66

Persistent link: https://www.econbiz.de/10001201560

Confidence regions for the mean-variance efficient set : an alternative approach to estimation risk

Jobson, J. D. - In: Review of quantitative finance and accounting 1 (1991) 3, pp. 235-257

Persistent link: https://www.econbiz.de/10001109916

Market timing by Canadian bond funds

Pink, George H. - In: Journal of business administration : publication of the … 18 (1988) 1, pp. 165-182

Persistent link: https://www.econbiz.de/10001329673

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