bonds. The criteria to optimize the credit portfolio is based on l∞-norm risk measure and the proposed optimization model is … formulated as a linear programming problem. The input parameters to the optimization model are rate of returns of bonds which are … obtained using credit ratings assuming that credit ratings of bonds follow a semi-Markov process. Modeling credit ratings by …

Leading into a debt crisis, interest rate spreads on sovereign debt rise before the economy experiences a decline in … estimation, a news shock has a larger contemporaneous impact on sovereign credit spreads than a comparable shock to labor … credit markets, and thus face lower yield spreads while increasing the amount of debt …