Showing 1 - 10 of 67
We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation between sector spreads and rate shifts. However, we also...
Persistent link: https://www.econbiz.de/10010720326
This paper proposes that high school graduates applying to higher education institutions do not have equal chances of succeeding. Therefore, admission outcomes must be taken into account by researchers and policy makers analysing college-going behaviour and the equity and efficiency of higher...
Persistent link: https://www.econbiz.de/10005551523
Persistent link: https://www.econbiz.de/10009932445
Persistent link: https://www.econbiz.de/10003198826
Persistent link: https://www.econbiz.de/10014565531
We suggest an empirical model of investment strategy returns which elucidates the importance of non-Gaussian features, such as time-varying volatility, asymmetry and fat tails, in explaining the level of expected returns. Estimating the model on the (former) Lehman Brothers Hedge Fund Index...
Persistent link: https://www.econbiz.de/10009369157
Persistent link: https://www.econbiz.de/10005936065
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model, the fractional recovery of market value approach. We...
Persistent link: https://www.econbiz.de/10008497628
In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash flow valuation assumption. We demonstrate that the...
Persistent link: https://www.econbiz.de/10008502711
In the third part of this series we introduce consistent relative value measures for CDS-Bond basis trades using the bond-implied CDS term structure derived from fitted survival rate curves. We explain why this measure is better than the traditionally used Z-spread or Libor OAS and offer...
Persistent link: https://www.econbiz.de/10008502712