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, …

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 …

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 …

… Gifford Fong is President of Gifford Fong Associates, a firm specializing in fixed income …
Oldrich Vasicek is Vice President and Senior Research Associate at Gifford Fong Associates…

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 …

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 …

In The Credit Market Handbook, financial expert and Editor H. Gifford Fong has assembled
a … In bringing together these noted authors and their work, Fong provides you with a rich …

… 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) …

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 …

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 …