Risk factor analysis and portfolio immunization in the corporate bond market

DOI10.1016/j.ejor.2003.08.047zbMath1067.90096OpenAlexW2060264726MaRDI QIDQ1887923

Marida Bertocchi, Stavros A. Zenios, Rosella Giacometti

Publication date: 22 November 2004

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2003.08.047

zbMATH Keywords

marketmulti-factor model

Mathematics Subject Classification ID

Marketing, advertising (90B60)

Related Items (2)

Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio ⋮ Portfolio selection strategy for fixed income markets with immunization on average

Uses Software

• CreditRisk+

Cites Work

• Unnamed Item

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