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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

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 and starting point. The study subsequently moves towards a post reduced … form bond valuation model, by considering portfolio migration and integer migration. Portfolio migration refers to actual …

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

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

Barnard, Brian - 2021

migration and portfolio rating migration, and consequently the implied degree of diversification. A reduced form model, based on … (a) rating migration (matrix) serves as the basis and starting point. The study subsequently moves towards a post reduced … form bond valuation model by considering portfolio migration and integer migration. Portfolio migration refers to actual …

Persistent link: https://www.econbiz.de/10013237057

Job tenure and asset holdings

Henley, Andrew; Disney, Richard; Carruth, Alan A. - 1993

Persistent link: https://www.econbiz.de/10000898023

Arbitrage risk and the turnover anomaly

Chou, Pin-huang; Huang, Tsung-yu; Yang, Hung-jeh - In: Journal of banking & finance 37 (2013) 11, pp. 4172-4182

Persistent link: https://www.econbiz.de/10010245601

A spectral model of turnover reduction

Kakushadze, Zura - In: Econometrics : open access journal 3 (2015) 3, pp. 577-589

We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...

Persistent link: https://www.econbiz.de/10011410628

Does Portfolio Turnover Exceed Expectations?

Guyatt, Danyelle Jann - 2011

This comparison of expected versus realized turnover in institutional equity portfolios reveals that 65%of portfolios turn over more than expected, some by large amounts.Manager interviews indicated they were aware that excessive turnover was potentially harmful to their clients. They cited...

Persistent link: https://www.econbiz.de/10013132850