Quantitative Management of Credit Portfolios.

AB Dor, A Desclée, L Dynkin, J Hyman… - Journal of Fixed …, 2022 - search.ebscohost.com
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 …

[BOOK][B] Engineering investment process: making value creation repeatable

F Ielpo, C Merhy, G Simon - 2017 - books.google.com
Engineering Investment Process: Making Value Creation Repeatable explores the
quantitative steps of a financial investment process. The authors study how these steps are …

[BOOK][B] Systematic Investing in Credit

AB Dor, A Desclee, L Dynkin, J Hyman, S Polbennikov - 2020 - books.google.com
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 …

Modelling the liquidity premium on corporate bonds

PRF van Loon, AJG Cairns, AJ McNeil… - Annals of Actuarial …, 2015 - cambridge.org
The liquidity premium on corporate bonds has been high on the agenda of Solvency
regulators owing to its potential relationship to an additional discount factor on long-dated …

On the nature and predictability of corporate bond returns

D Haesen, P Houweling - Available at SSRN 1914680, 2012 - papers.ssrn.com
Corporate bond returns consist of two distinct components: an interest rate component,
which is default-free and anti-cyclical, and a credit spread component, which is default-risky …

[BOOK][B] Modern multi-factor analysis of bond portfolios: Critical implications for hedging and investing

G Barone-Adesi, N Carcano - 2015 - books.google.com
Where institutions and individuals averagely invest the majority of their assets in money-
market and fixed-income instruments, interest rate risk management could be seen as the …

[PDF][PDF] Keen for Green

R Anderkrans, P Johannesson… - A study of pricing in …, 2019 - lup.lub.lu.se
Keen for Green Page 1 Department of Business Administration BUSN79 Master Thesis
Spring 2019 Keen for Green A Study of Pricing in the Secondary Green Bond Market …

[PDF][PDF] Decomposing risks in bond portfolios: International evidence

D Sun, SC Tsai, CD Chen - The Journal of Fixed Income, 2016 - researchgate.net
During the recent European sover-eign debt crisis, corporate bond yield spreads were
unusually high in several countries or regions but not necessarily elsewhere, implying …

[PDF][PDF] Tipos de interés y diferenciales de crédito: Algunas consideraciones prácticas para la gestión de carteras

MB Traver, ER Alfonso - Análisis Financiero, 2012 - researchgate.net
El objetivo de este artículo es poner de manifiesto la relación dinámica existente entre tipos
de interés y diferenciales de crédito, analizando el impacto que tiene sobre la gestión de …

[PDF][PDF] Keen for Green-A Study of Pricing in the Secondary Green Bond Market

R Anderkrans, P Johannesson - 2019 - lup.lub.lu.se
The emerging green bond market is a novel research area with only a few studies being
published in recent years. The increase in interest from issuers, investors, and academia …