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Portfolio credit risk : top-down versus bottom-up approaches

Giesecke, Kay - In: Frontiers in quantitative finance : volatility and …, (pp. 251-267). 2009

Persistent link: https://www.econbiz.de/10003787607

Do bank risk management and regulatory policy reduce risk in banking?

Pelizzon, Loriana (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001765978

Exchange risk and international diversification in bond and equity portfolios

Kaplanis, Evi C. - In: Journal of economics & business 43 (1991) 4, pp. 287-307

Persistent link: https://www.econbiz.de/10001121604

The foundations of continuous time finance

Schaefer, Stephen M. (ed.) - 2001

Persistent link: https://www.econbiz.de/10012874743

The dynamics of the term structure and alternative portfolio immunization strategies

Nelson, Jeffrey; Schaefer, Stephen - In: Innovations in bond portfolio management : duration …, (pp. 61-101). 1983

Persistent link: https://www.econbiz.de/10002570928

Placing no-arbitrage bounds on the value of nonmarketable and thinly-traded securities

Longstaff, Francis A. - In: Advances in futures and options research : a research annual 8 (1995), pp. 203-228

Persistent link: https://www.econbiz.de/10001211286

Optimal portfolio choice and the valuation of illiquid securities

Longstaff, Francis A. - In: The review of financial studies 14 (2001) 2, pp. 407-431

Persistent link: https://www.econbiz.de/10001570570

Valuing thinly traded assets

Longstaff, Francis A. - In: Management science : journal of the Institute for … 64 (2018) 8, pp. 3868-3878

Persistent link: https://www.econbiz.de/10011900055

Government policy and ownership of equity securities

Rydqvist, Kristian; Spizman, Joshua; Strebulaev, Ilya A. - In: Journal of financial economics 111 (2014) 1, pp. 70-85

Persistent link: https://www.econbiz.de/10010255540

Strategic risk shifting and the idiosyncratic volatility puzzle

Chen, Zhiyao; Strebulaev, Ilya A.; Xing, Yuhang; Zhang, … - 2014

We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their firms are in distress and receive less...

Persistent link: https://www.econbiz.de/10010387144