Quantitative Management of Credit Portfolios.
AB Dor, A Desclée, L Dynkin, J Hyman… - Journal of Fixed …, 2022 - search.ebscohost.com
Quantitative techniques have long been used to measure and control risk in credit portfolios.
More recently, interest has grown in a systematic approach to generating alpha in credit …
More recently, interest has grown in a systematic approach to generating alpha in credit …
[BOOK][B] Modeling and forecasting daily stock return volatility with intra-day price fluctuation information
Y Lu - 2005 - search.proquest.com
The GARCH model offers an elegant solution for the conditional variance dynamics of
financial security returns. However, the GARCH model only makes use of returns that have …
financial security returns. However, the GARCH model only makes use of returns that have …
[BOOK][B] Demystifying fixed income analytics: a practical guide
KN Mukherjee - 2020 - api.taylorfrancis.com
This book discusses important aspects of fixed income securities in emerging economies.
Key features• Clarifies all conceptual and analytical aspects of fixed income securities and …
Key features• Clarifies all conceptual and analytical aspects of fixed income securities and …
Rush for Duration
L Nilsson - Available at SSRN 3118258, 2018 - papers.ssrn.com
Rush For Duration Page 1 Electronic copy available at: https://ssrn.com/abstract=3118258 Rush
For Duration Linus Nilsson Whitepaper - Nordic Hedge Abstract Fixed income indices are …
For Duration Linus Nilsson Whitepaper - Nordic Hedge Abstract Fixed income indices are …
Non-fully invested derivative-free bond index replication
The problem we address here is the replication of a bond benchmark when only a fraction of
the portfolio is invested for the replication. Our methodology is based on a minimization of …
the portfolio is invested for the replication. Our methodology is based on a minimization of …