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Fabozzi, Frank J.
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The journal of fixed income
The Frank J. Fabozzi series
56
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Investment management and financial management
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Valuation, financial modeling, and quantitative tools
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A note on common interest rate risk measures
Buetow, Gerald W.
;
Fabozzi, Frank J.
;
Hanke, Bernd
- In:
The journal of fixed income
13
(
2003
)
2
,
pp. 46-54
Persistent link: https://www.econbiz.de/10001803151
Saved in:
2
EVENT OF DEFAULT PROVISIONS AND THE VALUATION OF ABS CDO TRANCHES
Goodman, Laurie S.
;
Newman, Daniel
;
Lucas, Douglas J.
; …
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 85-89
Persistent link: https://www.econbiz.de/10007902823
Saved in:
3
MONETARY POLICY AND INTEREST RATE FACTORS
Buetow Jr, Gerald W.
;
Fabozzi, Frank J.
;
Henderson, Brian J.
- In:
The journal of fixed income
19
(
2009
)
2
,
pp. 63-70
Persistent link: https://www.econbiz.de/10008321252
Saved in:
4
EMPIRICAL EVIDENCE ON CDO PERFORMANCE
Newman, Daniel
;
Fabozzi, Frank J.
;
Lucas, Douglas J.
; …
- In:
The journal of fixed income
18
(
2008
)
2
,
pp. 32-40
Persistent link: https://www.econbiz.de/10008115423
Saved in:
5
A NOTE ON COMMON INTEREST RATE RISK MEASURES - Portfolio managers, traders, and risk managers need measures to quantify exposure to changes in interest rates. Two measures beyond duration that take into account interest rate exposure due to a change in the yield curve are partial durations and key rate durations. Par curve changes are used to compute partial durations, and the spot curve is used ...
Buetow Jr, Gerald W.
;
Fabozzi, Frank J.
;
Hanke, Bernd
- In:
The journal of fixed income
13
(
2003
)
2
,
pp. 46-54
Persistent link: https://www.econbiz.de/10007157718
Saved in:
6
IMPACT OF DIFFERENT INTEREST RATE MODELS ON BOND VALUE MEASURES
Buetow Jr, Gerald W.
;
Hanke, Bernd
;
Fabozzi, Frank J.
- In:
The journal of fixed income
11
(
2001
)
3
,
pp. 41-53
Persistent link: https://www.econbiz.de/10007169334
Saved in:
7
Incorporating the Dynamic Link Between Mortgage and Treasury Markets in Pricing and Hedging MBS
Bhattacharya, Anand
;
Sekhar, Aryasomayajula
;
Fabozzi, …
- In:
The journal of fixed income
16
(
2006
)
2
,
pp. 39-45
Persistent link: https://www.econbiz.de/10007305999
Saved in:
8
DEFAULT RATES ON STRUCTURED FINANCE SECURITIES - In this article, the authors attempt to determine historical default rates for structured finance assets: Asset-backed securities, commercial mortgage-backed securities, and residential mortgage-backed securities. They focus on triple B rated residential B&C tranches that make up a great percentage of the collateral in many structured finance-backed ...
Lucas, Douglas J.
;
Goodman, Laurie S.
;
Fabozzi, Frank J.
- In:
The journal of fixed income
14
(
2004
)
2
,
pp. 44-53
Persistent link: https://www.econbiz.de/10007785765
Saved in:
9
Impact of different interest rate models on bond value measures
Buetow, Gerald W.
;
Hanke, Bernd
;
Fabozzi, Frank J.
- In:
The journal of fixed income
11
(
2001
)
3
,
pp. 41-53
Persistent link: https://www.econbiz.de/10001706063
Saved in:
10
Default rates on structured finance securities
Lucas, Douglas J.
;
Goodman, Laurie Sharon
;
Fabozzi, Frank J.
- In:
The journal of fixed income
14
(
2004
)
2
,
pp. 44-53
Persistent link: https://www.econbiz.de/10002421458
Saved in:
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