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Berücksichtigung des Zinsänderungsrisikos bei der Neubewertung am Risikohorizont in Kreditportfoliomodellen
Grundke, Peter - In: Journal of business economics : JBE 72 (2002) 12, pp. 1241-1267
Persistent link: https://www.econbiz.de/10001720930
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Measuring and controlling interest rate and credit risk
Fabozzi, Frank J.; Mann, Steven V.; Choudhry, Moorad - 2003 - 2. ed.
Persistent link: https://www.econbiz.de/10001764463
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Financial risk and financial risk management
Batten, Jonathan A. (ed.);  … - 2002 - 1. ed
Persistent link: https://www.econbiz.de/10001677915
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Quantitative credit portfolio management : new techniques for alpha capture
Dor, Arik Ben; Dynkin, Lev; Hyman, Jay; Phelps, Bruce D. - 2012 - 1. ed.
An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit...
Persistent link: https://www.econbiz.de/10009424011
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Credit-Value-at-Risk unter besonderer Berücksichtigung des Zusammenhangs von Markt- und Kreditrisiken
Entrop, Oliver - 2000
Persistent link: https://www.econbiz.de/10001546745
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Quantitative credit portfolio management : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk
Dor, Arik Ben (contributor) - 2012 - 1st ed (Online-Ausg.)
-- Dependence of Slope on Maturity -- CHAPTER 5 Quantifying the Liquidity of Corporate Bonds -- Liquidity Cost Scores (LCS) for U …
Persistent link: https://www.econbiz.de/10012678669
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Quantitative Finance : Strategien, Investments, Analysen
Larcher, Gerhard - 2020
Persistent link: https://www.econbiz.de/10012149994
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Bond portfolio management, swap strategy, duration, and convexity
Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015047705
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Modeling of risk measure bonds using the beta model
Hachicha, Fatma; Hachicha, Ahmed; Masmoudi, Afif - In: Review of Pacific Basin financial markets and policies 24 (2021) 4, pp. 2150033-1-2150033-18
Persistent link: https://www.econbiz.de/10012805199
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An ergodic BSDE risk representation in a jump-diffusion framework
Guambe, Calisto; Mabitsela, Lesedi; Kufakunesu, Rodwell - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012652631