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Các bài báo tiêu biểu
Correlations and business cycles of credit risk: Evidence from bankruptcies in Germany
Tập 17 - Trang 309-331 - 2003
An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management
Tập 21 Số 2 - Trang 147-166 - 2007
Three aspects of the Swiss term structure: an empirical survey
Tập 21 - Trang 221-240 - 2007
The term structure is an important transmitter of, and indicator for, monetary policy. This paper studies the Swiss term structure using monthly data from 1989 to 2005. We study the impact of the new monetary policy strategy that the Swiss National Bank (SNB) adopted at the beginning of 2000 on three aspects of the term structure. First, we test the expectations hypothesis and find it confirmed at......
Héylette Geman: Commodities and Commodity Derivatives - Modeling and Pricing for Agriculturals, Metals and Energy
Tập 20 - Trang 363-364 - 2006
Credit default swap prices as risk indicators of listed German banks
Tập 21 - Trang 269-292 - 2007
This paper explores empirically the usefulness of credit default swap (CDS) prices as market indicators. The sample of reference entities consists of large, internationally active German banks and the observation period covers 3 years.
By analysing the explanatory power of three risk sources: idiosyncratic credit risk, systematic credit risk and liquidity risk, we gain important insights into m......
Applying multivariate time series forecasts for active portfolio management
Tập 15 - Trang 201-211 - 2001
Damiano Brigo and Fabio Mercurio: Interest Rate Models – Theory and Practice
Tập 21 - Trang 135-137 - 2007