Tracking bond indices in an integrated market and credit risk environment

DOI10.1088/1469-7688/3/2/306zbMath1405.91682OpenAlexW2066020502MaRDI QIDQ4647251

Norbert J. Jobst, Stavros A. Zenios

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/2/306

zbMATH Keywords

credit riskportfoliostracking performancecorporate bond indices

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10) Credit risk (91G40)

Related Items

On the simulation of portfolios of interest rate and credit risk sensitive securities ⋮ Enhanced indexing for risk averse investors using relaxed second order stochastic dominance ⋮ Integrated dynamic models for hedging international portfolio risks ⋮ Integrated portfolio management with options ⋮ Top-down approaches for integrated risk management: how accurate are they?

Uses Software

• FortMP

Cites Work

• The Pricing of Options and Corporate Liabilities
• On Cox processes and credit risky securities
• Dynamic models for fixed-income portfolio management under uncertainty
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
• Capturing the Correlations of Fixed-income Instruments
• Credit risk: Modelling, valuation and hedging
• Credit risk optimization with conditional Value-at-Risk criterion
• Integrated simulation and optimization models for tracking international fixed income indices