Analysis of Bond Portfolios in an ALM Context

SSRN Electronic Journal ◽

10.2139/ssrn.3855346 ◽

2021 ◽

Author(s):

Eddy Hector Verbiest

Keyword(s):

Bond Portfolios

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Modifying Risk and Return in Managing Bond Portfolios

ICFA Continuing Education Series ◽

10.2469/cp.v1983.n2.7 ◽

1983 ◽

Vol 1983 (2) ◽

pp. 90-94

Author(s):

Stephen A. Ross

Keyword(s):

Risk And Return ◽

Bond Portfolios

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Horizon Annuity: Linking the Growth and Payout Phases of Long-Term Bond Portfolios

Financial Analysts Journal ◽

10.2469/faj.v35.n3.68 ◽

1979 ◽

Vol 35 (3) ◽

pp. 68-74

Author(s):

Martin L. Leibowitz

Keyword(s):

Bond Portfolios

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Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub‐Prime Crisis

SSRN Electronic Journal ◽

10.2139/ssrn.2002040 ◽

2012 ◽

Cited By ~ 3

Author(s):

Giovanni Barone-Adesi ◽

Nicola Carcano ◽

Hakim Dall'O

Keyword(s):

Corporate Bond ◽

Bond Portfolios ◽

New Evidence

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Immunization of Bond Portfolios: A New General Framework

SSRN Electronic Journal ◽

10.2139/ssrn.2634415 ◽

2015 ◽

Author(s):

Alberto Bueno-Guerrero ◽

Manuel Moreno ◽

Javier F. Navas

Keyword(s):

General Framework ◽

Bond Portfolios

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Risk and Reward of Fractionally-Leveraged ETFs in a Stock/Bond Portfolios

SSRN Electronic Journal ◽

10.2139/ssrn.3272532 ◽

2018 ◽

Author(s):

James DiLellio

Keyword(s):

Bond Portfolios ◽

Leveraged Etfs

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Inflated Credit Ratings, Regulatory Arbitrage and Capital Requirements: Do Investors Strategically Allocate Bond Portfolios?

SSRN Electronic Journal ◽

10.2139/ssrn.3542264 ◽

2020 ◽

Author(s):

Martijn Adriaan Boermans ◽

Bram van der Kroft

Keyword(s):

Credit Ratings ◽

Capital Requirements ◽

Regulatory Arbitrage ◽

Bond Portfolios

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Total Return and Credit Spread Diversification in International Bond Portfolios

SSRN Electronic Journal ◽

10.2139/ssrn.963762 ◽

2007 ◽

Cited By ~ 1

Author(s):

Simone Varotto

Keyword(s):

Credit Spread ◽

Bond Portfolios

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A new measure for gauging the riskiness of European Banks’ sovereign bond portfolios

Finance Research Letters ◽

10.1016/j.frl.2020.101887 ◽

2020 ◽

pp. 101887

Author(s):

Philip Molyneux ◽

Livia Pancotto ◽

Alessio Reghezza

Keyword(s):

Sovereign Bond ◽

European Banks ◽

Bond Portfolios

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Practical Applications of On the Dynamics of EMU Bond Portfolios: Is the Diversification of Risk Factors Driving to Convergence of Fund Exposure?

Practical Applications ◽

10.3905/pa.5.4.258 ◽

2018 ◽

Vol 5 (4) ◽

pp. 1.4-3

Author(s):

Gueorgui Konstantinov

Keyword(s):

Risk Factors ◽

Practical Applications ◽

Bond Portfolios

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Evaluating the Default Risk of Bond Portfolios with Extreme Value Theory

Computational Economics ◽

10.1007/s10614-014-9440-0 ◽

2014 ◽

Vol 45 (4) ◽

pp. 647-668 ◽

Cited By ~ 2

Author(s):

Yong Ma ◽

Zhengjun Zhang ◽

Weiguo Zhang ◽

Weidong Xu

Keyword(s):

Extreme Value Theory ◽

Default Risk ◽

Value Theory ◽

Extreme Value ◽

Bond Portfolios

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