risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond … is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be …

-domain properties of the decomposition to compute time-varying betas and analyse the determinants of risk across time …

Empirically testing a bond portfolio hedging model is usually carried out when proposing a new model or to compare … influences the testing outcome thus quantifying the model risk associated with these model features. The model risk measure …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

reduces both market price risk and reinvestment risk for a bond portfolio in the presence of interest rate uncertainty …Many bond portfolio managers argue that bond laddering tends to outperform other bond investment strategies because it …. Despite the popularity of bond ladders as a strategy for managing investments in fixed-income securities, there is surprising …

been performed in our recent working paper [5],"Enhancement of the Fisher-Weil bond technique immunization". So it is seen … curve ; Bond portfolio ; immunization ; optimization ; linearization …

there is no clear common sense for that. Our main purpose in this paper is to present how the classical Fisher-Weil bond … change approximation and the associated bond hedging technique can be enhanced, such that we are able to solve simultaneously … these two issues. The good approximation of the bond or portfolio change we derive, allows to get an interesting consequence …