Table of Contents

Primary Article

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  A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios

  Lionel Martellini and Jean-Christophe Meyfredi

  The Journal of Fixed Income Summer 2007, 17 (1) 5-15; DOI: https://doi.org/10.3905/jfi.2007.688961
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  Optimal Leveraging of Fixed Income Portfolios with Interest Rate Structured Products

  Mathieu Dieudonné and Jean-Christophe Curtillet

  The Journal of Fixed Income Summer 2007, 17 (1) 16-25; DOI: https://doi.org/10.3905/jfi.2007.688962
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  A Density-Dependent Model for Credit Ratings Migration Dynamics

  Dror Parnes

  The Journal of Fixed Income Summer 2007, 17 (1) 26-37; DOI: https://doi.org/10.3905/jfi.2007.688963
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  The Complementary Nature of Ratings and Market-Based Measures of Default Risk

  Gunter Löffler

  The Journal of Fixed Income Summer 2007, 17 (1) 38-47; DOI: https://doi.org/10.3905/jfi.2007.688964
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  Integrating Market and Credit Risk Using a Simplified Frailty Default Correlation Structure

  Cheng-Kun Kuo and Chih-Wei Lee

  The Journal of Fixed Income Summer 2007, 17 (1) 48-58; DOI: https://doi.org/10.3905/jfi.2007.688965
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  Another Look at the Relation Between Credit Spreads and Interest Rates

  Mingyan Lin and Jean-Christophe Curtillet

  The Journal of Fixed Income Summer 2007, 17 (1) 59-71; DOI: https://doi.org/10.3905/jfi.2007.688966