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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
In this paper, we present an integrated framework for the measurement and management of market and credit risk in fixed income portfolios. The framework based on the Mark-to-Future approach promoted by Algorithmics is used to analyze the contribution of market and credit risk to portfolio risk...
Persistent link: https://www.econbiz.de/10005612043
Persistent link: https://www.econbiz.de/10001517508