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Multi-factor risk analysis of bond portfolios

Dynkin, Lev; Hyman, Jay - In: Risk management for central bank foreign reserves, (pp. 201-221). 2004

Persistent link: https://www.econbiz.de/10002111491

Dynkin, Lev; Hyman, Jay; Phelps, Bruce D. - In: Advanced bond portfolio management : best practices in …, (pp. 97-109). 2006

Persistent link: https://www.econbiz.de/10003280182

Quantitative portfolio strategy : including US MBS in global treasury portfolios

Dynkin, Lev; Hyman, Jay; Phelps, Bruce D. - In: Interest rate models, asset allocation and quantitative …, (pp. 249-264). 2010

Persistent link: https://www.econbiz.de/10008746605

Empirical duration of corporate bonds and credit market segmentation

Ambastha, Madhur; Dor, Arik Ben; Dynkin, Lev; Hyman, Jay; … - In: The journal of fixed income 20 (2010/11) 1, pp. 5-27

Persistent link: https://www.econbiz.de/10003988023

Quantitative portfolio strategy : including US MBS in global treasury portfolios

Dynkin, Lev; Hyman, Jay; Phelps, Bruce D. - In: Interest rate models, asset allocation and quantitative …, (pp. 249-264). 2010

Persistent link: https://www.econbiz.de/10003940949

Quantitative credit portfolio management : new techniques for alpha capture

Dor, Arik Ben; Dynkin, Lev; Hyman, Jay; Phelps, Bruce D. - 2012 - 1. ed.

An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit...

Persistent link: https://www.econbiz.de/10009424011

Quantitative management of benchmarked portfolios

Dynkin, Lev; Hyman, Jay; Konstantinovsky, Vadim - In: The handbook of fixed income securities, (pp. 1017-1046). 2005

Persistent link: https://www.econbiz.de/10003055196

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

Bond portfolio analysis relative to a benchmark

Dynkin, Lev; Hyman, Jay; Konstantinovsky, Vadim - In: The theory and practice of investment management, (pp. 653-664). 2002

Persistent link: https://www.econbiz.de/10001730164

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