The implications of dependence, tail dependence, and bounds' measures for counterparty credit risk pricing
J Arismendi-Zambrano, V Belitsky, VA Sobreiro… - Journal of Financial …, 2022 - Elsevier
This paper investigates the counterparty credit risk of interest rate swaps positions using the
credit valuation adjustment (CVA) measure, and examines the potential dependence …
credit valuation adjustment (CVA) measure, and examines the potential dependence …
The Shrinkage Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection
M Levy, R Roll - The Journal of Investing, 2023 - pm-research.com
In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …
than 900 articles have been published in the journal since then, educating market …
[BOOK][B] Puttable and extendible bonds: developing interest rate derivatives for emerging markets
SN Neftci, MA Santos - 2003 - books.google.com
This paper analyzes the price stabilizing properties of puttable and extendible bonds, their
potential to help develop interest-rate derivative markets, and their use by governments …
potential to help develop interest-rate derivative markets, and their use by governments …
[HTML][HTML] On short-term loan interest rate models: a first passage time approach
G Albano, V Giorno - Mathematics, 2018 - mdpi.com
In this paper, we consider a stochastic diffusion process able to model the interest rate
evolving with respect to time and propose a first passage time (FPT) approach through a …
evolving with respect to time and propose a first passage time (FPT) approach through a …
Contributions of The Journal of Fixed Income to Fixed-Income Analytics.
FJ Fabozzi - Journal of Fixed Income, 2022 - search.ebscohost.com
In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …
than 900 articles have been published in the journal since then, educating market …
The implied views of bond traders on the spot equity market
By using the Black-Derman-Toy (BDT) model, we predict the future trend of the riskless rate,
and then we build an equation that relates the market price of zero-coupon bonds and the …
and then we build an equation that relates the market price of zero-coupon bonds and the …
[PDF][PDF] Equilibrium short-rate models vs no-arbitrage models: Literature review and computational examples
D Josheski, M Apostolov - Econometrics, 2021 - intapi.sciendo.com
In this paper equilibrium short-rate models are compared against no-arbitrage short-rate
models. This article is composed of the introduction to this literature and a review, followed …
models. This article is composed of the introduction to this literature and a review, followed …
Effective Duration and Convexity
GW Buetow Jr, RR Johnson - Handbook of Finance, 2008 - Wiley Online Library
Modified duration and effective duration are two ways to measure the price sensitivity of a
fixed income security. Both measure the percentage price change of a security from an …
fixed income security. Both measure the percentage price change of a security from an …
[BOOK][B] Three essays on mortgage-backed securities: Hedging interest rate and credit risks
J Chen - 2003 - search.proquest.com
Title of Dissertation: THREE ESSAYS ON MORTGAGE BACKED SECURITIES: HEDGING
INTEREST RATE AND CREDIT RISKS Jian Chen, D Page 1 ABSTRACT Title of Dissertation …
INTEREST RATE AND CREDIT RISKS Jian Chen, D Page 1 ABSTRACT Title of Dissertation …
Puttable and extendible bonds: Developing interest rate derivatives for emerging markets
AO Santos, SN Neftci - 2003 - papers.ssrn.com
This paper analyzes the price stabilizing properties of puttable and extendible bonds, their
potential to help develop interest-rate derivative markets, and their use by governments …
potential to help develop interest-rate derivative markets, and their use by governments …