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Multifactor risk models and their applications
Dynkin, Lev; Hyman, Jay - In: Advanced bond portfolio management : best practices in …, (pp. 195-246). 2006
Persistent link: https://www.econbiz.de/10003280210
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Hedging and replication of fixed-income portfolios
Dynkin, Lev; Hyman, Jay; Lindner, Peter - In: The journal of fixed income 11 (2001) 4, pp. 43-63
Persistent link: https://www.econbiz.de/10001701721
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The Lehman brothers swap indexes
Dynkin, Lev; Greenfield, Yuri; Joneja, Dev - In: The journal of fixed income 12 (2002) 2, pp. 28-42
Persistent link: https://www.econbiz.de/10001745237
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Constant-duration mortgage index
Dynkin, Lev (contributor) - In: The journal of fixed income 10 (2000) 1, pp. 79-96
Persistent link: https://www.econbiz.de/10001493840
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Multi-factor fixed-income risk models and their applications
Dynkin, Lev; Hyman, Jay - In: The theory and practice of investment management, (pp. 665-696). 2002
Persistent link: https://www.econbiz.de/10001730169
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Multi-factor risk models and their applications
Dynkin, Lev; Hyman, Jay - In: Interest rate, term structure, and valuation modeling, (pp. 241-294). 2002
Persistent link: https://www.econbiz.de/10001734178
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Coupon effects on corporate bonds : pricing, empirical duration, and spread convexity
Hyman, Jay; Dor, Arik Ben; Dynkin, Lev; Horowitz, David; … - In: The journal of fixed income 24 (2015) 3, pp. 52-63
Persistent link: https://www.econbiz.de/10011292814
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Dts (Duration Times Spread)
Ben Dor, Arik - 2007
The paper proposes a new measure of spread exposure for corporate bonds portfolios based on a detailed analysis of credit spread behavior. We find that changes in spreads are not parallel but rather linearly proportional to the level of spread, whereby bonds trading at wider spreads experience...
Persistent link: https://www.econbiz.de/10012777927
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ESG ratings and performance of corporate bonds
Polbennikov, Simon; Desclée, Albert; Dynkin, Lev; … - In: The journal of fixed income 26 (2016) 1, pp. 21-41
Persistent link: https://www.econbiz.de/10011660749
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FIXED INCOME - Value of Security Selection versus Asset Allocation in Credit Markets
Dynkin, Lev; Feryet, Peter; Hyman, Jay; Leeuwen, Erik Van; … - In: The journal of portfolio management : a publication of … 25 (1999) 4, pp. 11-27
Persistent link: https://www.econbiz.de/10007374869