“desirable portfolio” delivering cash flows with negative risk at zero cost. Although these are not completely risk …-free investments and subject to the risk measure used, they can provide attractive investment opportunities for investors. We … fixed income markets. Then, we present two applications of the theory: one in analyzing market integration problem and the …

order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap … (CDS) index we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single … risk premium. This premium, which covaries negatively with current realized correlations and positively with future …

), Tasche (2013), Kruger (2015) and Blümke (2020), we propose a Bayesian approach to back-test credit risk parameters in low …