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Are liquidity and counterparty risk priced in the credit default swap market?
Pu, Xiaoling; Wang, Junbo; Wu, Chunchi - In: The journal of fixed income 20 (2010/11) 4, pp. 59-79
Persistent link: https://www.econbiz.de/10009007990
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On the Basel Accord's inverse relationship between default probability and asset correlation : an empirical study
Blümke, Oliver - In: The journal of fixed income 25 (2015) 2, pp. 38-47
Persistent link: https://www.econbiz.de/10011399847
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Value at risk for interest rate-dependent securities
Cakici, Nusret; Foster, Kevin R. - In: The journal of fixed income 12 (2002) 4, pp. 81-95
Persistent link: https://www.econbiz.de/10001774645
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Value at risk estimates for Brady bond portfolios
D'Vari, Ron; Sosa, Juan C. - In: The journal of fixed income 10 (2000) 3, pp. 7-23
Persistent link: https://www.econbiz.de/10001549788
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Value at risk for corporate bond portfolios
Venkatesh, P. C. - In: The journal of fixed income 13 (2003) 2, pp. 19-32
Persistent link: https://www.econbiz.de/10001803142
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A simple empirical model of equity-implied probabilities of default
Altman, Edward I.; Fargher, Neil; Kalotay, Egon - In: The journal of fixed income 20 (2010/11) 3, pp. 71-85
Persistent link: https://www.econbiz.de/10008858607
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Anisotropic credit scheme for municipal revenue bonds
Parnes, Dror - In: The journal of fixed income 20 (2010/11) 4, pp. 91-99
Persistent link: https://www.econbiz.de/10009007988
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Bond portfolio optimization : a risk-return approach
Korn, Olaf; Koziol, Christion - In: The journal of fixed income 15 (2006) 4, pp. 48-60
Persistent link: https://www.econbiz.de/10003339406
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Hedge fund risk factors and the value at risk of fixed income trading strategies
Loudon, Geoffrey F.; Okunev, John; White, Derek - In: The journal of fixed income 16 (2006) 2, pp. 46-61
Persistent link: https://www.econbiz.de/10003400072
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The reaction of term structure of interest rates to monetary policy actions
Goukasian, Levon; Cialenco, Igor - In: The journal of fixed income 16 (2006) 2, pp. 76-91
Persistent link: https://www.econbiz.de/10003400093