We use equity as the traded primitive for a detailed analysis of systematic default risk. Default
is parsimoniously represented by equity value hitting the zero barrier so that, unlike in …

The authors study the historical relationship between environmental, social, and governance
(ESG) ratings and corporate bond spread and performance, finding that corporate bonds …

Portfolio diversification across asset classes is a widely accepted concept in the financial
industry. Investors allocate their holdings across instruments with an imperfect correlation …

Implementing quantitative signals in a corporate bond portfolio can be challenging owing to
high transaction costs, large variations of liquidity across individual bonds, and the …

In Implementing Value and Momentum Strategies in Credit Portfolios , from the Quantitative
Special Issue 2021 of The Journal of Portfolio Management, authors Simon Polbennikov, …

Quantitative techniques have long been used to measure and control risk in credit portfolios.
More recently, interest has grown in a systematic approach to generating alpha in credit, …

We extend the study of Ben Dor, Dynkin, Hyman, Houweling, Leeuwen and Penninga [2007]
on the behaviour of corporate bond spreads to the realm of credit default swaps using a …

We document and quantify the spillover of sovereign risk onto corporate credits throughout
the Eurozone. We characterize the dynamics of spread movement in Euro corporates and …

Praise for SYSTEMATIC INVESTING in CREDIT" Lev and QPS continue to shed light on the
most important questions facing credit investors. This book focuses on their latest cutting-…

We extend the study of Ben Dor, Dynkin, Hyman, Houweling, Leeuwen and Penninga [2007]
on the behaviour of corporate bond spreads to the realm of credit default swaps using a …