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, …

BAYESIAN DECISION THEORY provides formal procedures which utilize information available
prior to sampling, together with the sample information, to con-struct estimates which are …

Credit valuation is an objective and quantitative process. It should not depend on the judgement
of a particular person or committee. Instead, it should be based on observable quantities…

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 …

The variety and complexity of portfolio holdings have given rise to the need for additional
analyses for purposes of risk management. A framework for risk analysis includes three …

There are two appropriate caveats, concerning the context of this paper. They both follow
from the fact that it is an exposition, and not an extension, of the thinking of the authors of …

It is shown that, when conditional on a set of given average values, the frequency distribution
of a series of independent random variables with a common finite distribution converges in …

The paper looks at the behavior of investors in an economy consisting of a production process
controlled by a state variable representing the state of technology. The participants in the …

… Oldrich Vasicek has … Vasicek's insights on topics he helped create Discover his research
and ideas that have gone unpublished—until now Understand yield curves and the Vasicek …