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Alternative models for hedging yield curve risk : an empirical comparison
Carcano, Nicola; Dall’O, Hakim - In: Journal of banking & finance 35 (2011) 11, pp. 2991-3000
Persistent link: https://www.econbiz.de/10009374683
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Alternative models for hedging yield curve risk : an empirical comparison
Carcano, Nicola; Dall'O, Hakim - In: Modern multi-factor analysis of bond portfolios : …, (pp. 21-46). 2016
Persistent link: https://www.econbiz.de/10011458165
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Bond yields : models and moments
Gabriel, Christian - 2015
Anleihenrenditen-Verteilung; Festzinsanlagen-Portfolios; Hauptkomponentenanalyse; Kredit-Rating; Nicht …Affine term structure models; Bond return distributions; Corporate bonds; Credit rating; Fixed income portfolios …Besides the introduction, the thesis is organized in two parts. Part I assumes a bond investor with μ-σ preferences …
Persistent link: https://www.econbiz.de/10011317335
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Value at risk models for Dutch bond portfolios
Vlaar, Peter J. G. - In: Journal of banking & finance 24 (2000) 7, pp. 1131-1154
Persistent link: https://www.econbiz.de/10001483882
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Value at risk models for Dutch bond portfolios
Vlaar, Peter J. G. - 1998
Persistent link: https://www.econbiz.de/10000983318
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Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model
Gauthier, Geneviève - 2012
spreads as it modifies both the level and shape of the curves. When a bond portfolio is considered, the presence of dependence …
Persistent link: https://www.econbiz.de/10013101883
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A better alternative to conventional bond in the context of risk management
Khachatryan, Gor - In: European research studies 22 (2019) 1, pp. 209-220
Persistent link: https://www.econbiz.de/10012285915
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Interest and credit risk management in German banks
Dräger, Vanessa; Heckmann, Lotta; Memmel, Christoph - In: German economic review : GER 22 (2021) 1, pp. 63-95
Persistent link: https://www.econbiz.de/10012507117
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New methods in fixed income modeling : fixed income modeling
Mili, Mehdi (ed.); Samaniego Medina, Reyes (ed.);  … - 2018
latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments …
Persistent link: https://www.econbiz.de/10011890434
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New Methods in Fixed Income Modeling : Fixed Income Modeling
Mili, Mehdi (ed.); Samaniego Medina, Reyes (ed.);  … - 2018
latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments …
Persistent link: https://www.econbiz.de/10012396848