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Contingent convertible bonds for sovereign debt risk management

Consiglio, Andrea; Zenios, Stauros Andrea - In: Journal of globalization and development 9 (2018) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012003110

Contagion effect on bond portfolio risk measures in a hybrid credit risk model

Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Finance research letters 11 (2014) 2, pp. 131-139

Persistent link: https://www.econbiz.de/10010441202

Risk management for sovereign financing within a debt sustainability framework

Athanasopoulou, Marialena; Consiglio, Andrea; Erce, Aitor; … - 2018

Persistent link: https://www.econbiz.de/10011948222

The role of Asian Credit Default Swap index in portfolio risk management

Liu, Jianxu; Chatchai Khiewngamdee; Songsak Sriboonchitta - In: Robustness in econometrics, (pp. 435-447). 2017

Persistent link: https://www.econbiz.de/10011801781

Assessing the market risk on the government debt of Kazakhstan and Bulgaria in conditions of turbulence

Em, Olga; Georgiev, Georgi; Radukanov, Sergey; Petrova, … - In: Risks : open access journal 10 (2022) 5, pp. 1-18

. The duration method was used in the calculation of Delta normal bond VaR and CVaR. It was found that with the same credit …–two indicators measuring linearly the sensitivity of bond prices to changes in market interest rates (Weighted average Macaulay … variants (SR Undiversified VaR, SR Diversified VaR, and SR Diversified CVaR). When evaluating the bond portfolio VaR and CVaR …

Persistent link: https://www.econbiz.de/10013359115