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Interactions between market and credit risk : modeling the joint dynamics of default-free and defautltable bond term structures

Walder, Roger - 2002

Persistent link: https://www.econbiz.de/10001732496

Integrated market and credit risk management of fixed income portfolios

Walder, Roger - 2002

Persistent link: https://www.econbiz.de/10001743384

Dynamic allocation of treasury and corporate bond portfolios

Walder, Roger - 2002

Persistent link: https://www.econbiz.de/10001743395

Interactions between Market and Credit Risk: Modeling the Joint Dynamics of Default-free and Defaultable Bond Term Structures

Walder, Roger - 2002

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.

Persistent link: https://www.econbiz.de/10005843342

Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures

WALDER, Roger - Swiss Finance Institute - 2002

The objective of this paper is to model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures. Defaultable bond prices are modeled in an intensity based framework along the lines of Duffie and Singleton (1999) with state variables following an affine...

Persistent link: https://www.econbiz.de/10005612050

Die Modellierung von Zinsrisikofaktoren in einem Value-at-Risk-Modell

Tobler, Jürg; Walder, Roger - In: Finanzmarkt und Portfolio-Management 12 (1998) 3, pp. 342-370

Persistent link: https://www.econbiz.de/10001517508