Parametric term structure models have been successfully applied to numerous problems in
fixed income markets, including pricing, hedging, managing risk, as well as to the study of …

Principal Component Analysis (PCA) has been traditionally used for identifying the most
important factors driving term structures of interest rates movements. Once one maps the …

Fixed income emerging markets are an interesting investment alternative. Measuring market
risks is mandatory in order to avoid unexpected huge losses. The most used market risk …

The aim of this article is to analyse the efficiency of eurobond issuers within the primary
market, from 1995 to 2000. The study includes a reference to theoretical discussion and to …

El objetivo del artículo es evaluar, mediante el análisis envolvente de datos, la eficiencia en
las emisiones de eurobonos a tipo fijo en el periodo 2004-2012, valorando el impacto de la …

In this article, we develop a strategy to simultaneously extract a yield curve and price call
options embedded in debentures subject to credit risk. The implementation is based on a …

Um dos grandes desafios na gestão de uma carteira de renda fixa passa pela estimação da
curva de juros dos títulos que a compõe. Sua correta estimação e a identificação dos fatores …

Análisis de la eficiencia en el mercado de eurobonos antes y durante la crisis económica (2004-2012)
Page 1 Journal of Innovation & Knowledge 1 (2016) 81–90 www.elsevier.es/jik Journal of …

La crisis actual ha afectado a todos los sectores incluyendo a las grandes empresas de la
mayoría de países, por ello la importancia que tiene analizar el impacto que ha tenido ésta …