Term structure modeling using exponential splines
OA Vasicek, HG Fong - The Journal of Finance, 1982 - JSTOR
TERM STRUCTURE OF interest rates provides a characterization of interest rates as a
function of maturity. It facilitates the analysis of rates and yields such as discussed in Dobson, …
function of maturity. It facilitates the analysis of rates and yields such as discussed in Dobson, …
A risk minimizing strategy for portfolio immunization
HG Fong, OA Vasicek - The Journal of Finance, 1984 - Wiley Online Library
Consider a fixed‐income portfolio whose duration is equal to the length of a given investment
horizon. It is shown that there is a lower limit on the change in the end‐of‐horizon value of …
horizon. It is shown that there is a lower limit on the change in the end‐of‐horizon value of …
Fixed-income volatility management
HG Fong, OA Vasicek - Journal of portfolio management, 1991 - search.proquest.com
Measuring the risk in fixed-income management typically takes the form of determining
exposure to changes in the level of interest rates. Prior term structure theories have assumed a …
exposure to changes in the level of interest rates. Prior term structure theories have assumed a …
The tradeoff between return and risk in immunized portfolios
HG Fong, O Vasicek - Financial analysts journal, 1983 - Taylor & Francis
… Gifford Fong is President of Gifford Fong Associates, a firm specializing in fixed income
investment echnology systems and consulting. Oldrich Vasicek is Vice President and Senior …
investment echnology systems and consulting. Oldrich Vasicek is Vice President and Senior …
Impact of correlated default risk on credit portfolios
SR Das, HG Fong, G Geng - The Journal of Fixed Income, 2001 - jfi.pm-research.com
Markets are evidencing increasing systemic risk, and the credit market is no exception.
Correlated default is thus an important feature models must account for in credit portfolios. To …
Correlated default is thus an important feature models must account for in credit portfolios. To …
A new analytical approach to value at risk
HG Fong, L Kai-Ching - Journal of Portfolio Management, 1999 - search.proquest.com
An approach to calculating value at risk that directly investigates the relationship between
the VaRs of the derivative and the underlying is described. The method gives exact and …
the VaRs of the derivative and the underlying is described. The method gives exact and …
[BOOK][B] The credit market handbook: advanced modeling issues
HG Fong - 2006 - books.google.com
… Gifford Fong has assembled a group of prominent professionals and academics familiar …
In bringing together these noted authors and their work, Fong provides you with a rich …
In bringing together these noted authors and their work, Fong provides you with a rich …
[BOOK][B] The world of risk management
HG Fong - 2005 - books.google.com
… Let me also take this opportunity to thank the staff of Gifford Fong Associates for their
support of this activity. In addition, let me extend gratitude to World Scientific Publishing Co.(WSPC) …
support of this activity. In addition, let me extend gratitude to World Scientific Publishing Co.(WSPC) …
China's financial reform and monetary policy: issues and strategies
HS Cheng, HG Fong, T Mayer - China's Economic Future, 2016 - taylorfrancis.com
This paper presents a brief, critical review of the principal features of China's financial system
and conduct of monetary policy. It shows that despite its impressive growth since 1979, the …
and conduct of monetary policy. It shows that despite its impressive growth since 1979, the …
Forecast-free international asset allocation
HG Fong, OA Vasicek - Financial Analysts Journal, 1989 - Taylor & Francis
The multiple asset performance (MAP) strategy uses option pricing theory to allocate portfolio
assets across international equity markets; it does not require any forecasts of expected …
assets across international equity markets; it does not require any forecasts of expected …