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A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics

Singh, Arti; Dharmaraja, Selvamuthu - In: International journal of financial markets and derivatives 6 (2017) 2, pp. 102-119

Persistent link: https://www.econbiz.de/10011862377

Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads

Nanda, Vikram K. - 2018

Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire-sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of...

Persistent link: https://www.econbiz.de/10012936328

Predicting sovereign credit ratings for portfolio stress testing

Campino, Jonas de Oliveira; Galizia, Frederico; … - In: Journal of risk management in financial institutions 14 (2020/2021) 3, pp. 229-241

Persistent link: https://www.econbiz.de/10012650468

ETF risk models

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10013407268

The marginal impact of predicted climate risk scenarios on portfolio credit risk stress testing

Campino, Jonas de Oliveira - In: Journal of risk management in financial institutions 16 (2022/2023) 2, pp. 124-137

Persistent link: https://www.econbiz.de/10014286639

Investment commonality across insurance companies : fire sale risk and corporate yield spreads

Nanda, Vikram; Wu, Wei; Zhou, Xing - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 6, pp. 2543-2574

Persistent link: https://www.econbiz.de/10012165923

Credit intelligence : a more robust alternative to current commercial loan modelling approaches

Kahrim, Neil; Hunter, Sean - In: Journal of digital banking 6 (2021) 1, pp. 25-32

Persistent link: https://www.econbiz.de/10012817652

Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk

Skoglund, Jimmy; Chen, Wei - In: The journal of risk model validation 11 (2017) 1, pp. 21-47

Persistent link: https://www.econbiz.de/10011671176

Survey of credit risk models in relation to capital adequacy framework for financial institutions

Nacaskul, Poomjai - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 68-84

Persistent link: https://www.econbiz.de/10011673803

Rating migration and bond valuation : a historical interest rate and default probability term structures

Barnard, Brian - In: Expert journal of finance 6 (2018) 1, pp. 16-39

Persistent link: https://www.econbiz.de/10012053529

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