In contrast to alternative measures of risk, value at risk (VaR) has important virtues–
intelligibility, comparability, and practicality–that make it a potentially valuable tool for …

Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …

Over the past ten years, risk management and valuation techniques in fixed-income markets
have evolved from the use of static, somewhat naıve concepts such as Macaulay's duration …

The nancial derivatives market has been an area of innovation over the past few years. The
continuing developments of the market are a result of the growth of economies and the …

This paper estimates both parametric and non-parametric proportional hazards models for a
subset of Canadian mortgage-backed security data. The estimated parametric hazard …