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~person:"Herbertsson, Alexander"
~person:"Hyman, Jay"
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Herbertsson, Alexander
Hyman, Jay
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11
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Advanced bond portfolio management : best practices in modeling and strategies
2
Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds
2
Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012
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The Oxford handbook of credit derivatives
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Risk management for central bank foreign reserves
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The credit derivatives handbook : global perspectives, innovations, and market drivers
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ECONIS (ZBW)
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Multi-factor risk analysis of bond portfolios
Dynkin, Lev
;
Hyman, Jay
- In:
Risk management for central bank foreign reserves
,
(pp. 201-221)
.
2004
Persistent link: https://www.econbiz.de/10002111491
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2
Quantitative portfolio strategy : including US MBS in global treasury portfolios
Dynkin, Lev
;
Hyman, Jay
;
Phelps, Bruce D.
- In:
Interest rate models, asset allocation and quantitative …
,
(pp. 249-264)
.
2010
Persistent link: https://www.econbiz.de/10003940949
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3
Quantitative portfolio strategy : including US MBS in global treasury portfolios
Dynkin, Lev
;
Hyman, Jay
;
Phelps, Bruce D.
- In:
Interest rate models, asset allocation and quantitative …
,
(pp. 249-264)
.
2010
Persistent link: https://www.econbiz.de/10008746605
Saved in:
4
Markov chain models of portfolio credit risk
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Herbertsson, …
- In:
The Oxford handbook of credit derivatives
,
(pp. 327-382)
.
2011
Persistent link: https://www.econbiz.de/10008858174
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5
A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépey, Stéphane
; …
- In:
Recent advances in financial engineering 2012 : …
,
(pp. 51-73)
.
2014
Persistent link: https://www.econbiz.de/10010359906
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6
A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépey, Stéphane
; …
- In:
Recent advances in financial engineering 2012 : …
,
(pp. 25-49)
.
2014
Persistent link: https://www.econbiz.de/10010359909
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7
Liability-based benchmarks
Dynkin, Lev
;
Hyman, Jay
;
Phelps, Bruce D.
- In:
Advanced bond portfolio management : best practices in …
,
(pp. 97-109)
.
2006
Persistent link: https://www.econbiz.de/10003280182
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8
Multifactor risk models and their applications
Dynkin, Lev
;
Hyman, Jay
- In:
Advanced bond portfolio management : best practices in …
,
(pp. 195-246)
.
2006
Persistent link: https://www.econbiz.de/10003280210
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9
Default contagion in large homogeneous portfolios
Herbertsson, Alexander
- In:
The credit derivatives handbook : global perspectives, …
,
(pp. 303-334)
.
2008
Persistent link: https://www.econbiz.de/10003748427
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10
Quantitative management of benchmarked portfolios
Dynkin, Lev
;
Hyman, Jay
;
Konstantinovsky, Vadim
- In:
The handbook of fixed income securities
,
(pp. 1017-1046)
.
2005
Persistent link: https://www.econbiz.de/10003055196
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