Credit risk management
- An Empirical Examination of the Term Structure Fundamentals of Credit SpreadsAustin Murphy and Adrian HeadleyThe Journal of Fixed Income March 2020, jfi.2020.1.093; DOI: https://doi.org/10.3905/jfi.2020.1.093
- Biases in CDS Spreads After the CDS Big BangXinjie Wang, Hongjun Yan and Zhaodong (Ken) ZhongThe Journal of Fixed Income March 2020, jfi.2020.1.095; DOI: https://doi.org/10.3905/jfi.2020.1.095
- Efficient Routines for CDO Loss CalculationsJoseph M. PimbleyThe Journal of Structured Finance March 2020, jsf.2020.1.096; DOI: https://doi.org/10.3905/jsf.2020.1.096
- Default Probability Assessment for Project Finance Bank Loans and Basel Regulations: Searching for a New ParadigmVikas Srivastava and Surya DashottarThe Journal of Structured Finance January 2020, 25 (4) 41-53; DOI: https://doi.org/10.3905/jsf.2019.1.088
- Factor Investing in Currency Markets: Does It Make Sense?Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli and Jiali XuThe Journal of Portfolio Management December 2019, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116
- Sovereign Bonds in Emerging Asia: Do Investors Demand Liquidity Premium?Rintu Anthony and Krishna PrasannaThe Journal of Fixed Income December 2019, 29 (3) 77-87; DOI: https://doi.org/10.3905/jfi.2019.1.079
- A Complete Model for Pricing CoCo BondsKrasimir Milanov, Ognyan Kounchev and Frank J. FabozziThe Journal of Fixed Income December 2019, 29 (3) 53-67; DOI: https://doi.org/10.3905/jfi.2019.1.077
- Implied Asset Value Volatility from a New Structural Model of Credit RiskJames ChenThe Journal of Fixed Income December 2019, 29 (3) 38-52; DOI: https://doi.org/10.3905/jfi.2019.1.076
- Implications of Default Information Leakage on RecoveriesMao-Wei Hung and Wen-Hsin TsaiThe Journal of Fixed Income December 2019, 29 (3) 22-37; DOI: https://doi.org/10.3905/jfi.2019.1.075
- The Key Rate Durations of Municipal BondsAndrew Kalotay and Joel BuursmaThe Journal of Fixed Income September 2019, 29 (2) 61-64; DOI: https://doi.org/10.3905/jfi.2019.1.073
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