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A portfolio theory of defaultable bonds and its empirical validation

Schubert, Dirk A. - 2004

Persistent link: https://www.econbiz.de/10002212131

Desirable portfolios in fixed income markets : application to credit risk premiums

Garrido, José; Okhrati, Ramin - In: Risks : open access journal 6 (2018) 1, pp. 1-21

fixed income markets. Then, we present two applications of the theory: one in analyzing market integration problem and the …

Persistent link: https://www.econbiz.de/10011811620

Delta-Normal value at risk using exponential duration with convexity for measuring government bond risk

Maruddani, Di Asih I; Abdurakhman Abdurakhman - In: DLSU business & economics review 31 (2021) 1, pp. 72-80

Persistent link: https://www.econbiz.de/10013472258

Extrapolating long-maturity bond yields for financial risk measurement

Christensen, Jens H. E.; López, José A.; Mussche, Paul L. - In: Management science : journal of the Institute for … 68 (2022) 11, pp. 8286-8300

Persistent link: https://www.econbiz.de/10014280151

Credit Spread Risiken : Messung und Integration in Portfoliomodelle

Thuspaß, Thomas - 2014

Persistent link: https://www.econbiz.de/10013432852

The Systemic Risk Implications of Using Credit Ratings Versus Quantitative Measures to Limit Bond Portfolio Risk

Löffler, Gunter - 2019

Despite intense criticism, agency credit ratings are still widely used in regulation and risk management. One possible alternative is to replace them with quantitative default risk measures. For US data, I find that systemically relevant losses from corporate defaults are mostly smaller if...

Persistent link: https://www.econbiz.de/10012889469