Diversifying market and default risk in high grade sovereign bond portfolios
In: Portfolio and risk management for central banks and sovereign wealth funds
No abstract is available for this item.
|This chapter was published in: ||This item is provided by Bank for International Settlements in its series BIS Papers chapters with number
58-04.||Handle:|| RePEc:bis:bisbpc:58-04||Contact details of provider:|| Postal: Centralbahnplatz 2, CH - 4002 Basel|
Phone: (41) 61 - 280 80 80
Fax: (41) 61 - 280 91 00
Web page: http://www.bis.org/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2009.
"EMU and European government bond market integration,"
Working Paper Series
1079, European Central Bank.
- Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2010. "EMU and European government bond market integration," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2851-2860, December.
- Jeffery D Amato & Eli M Remolona, 2003. "The credit spread puzzle," BIS Quarterly Review, Bank for International Settlements, December.
- Eli M Remolona & Michela Scatigna & Eliza Wu, 2007. "Interpreting sovereign spreads," BIS Quarterly Review, Bank for International Settlements, March.
- David G. Barr & Richard Priestley, .
"Expected Returns, Risk, and the Integration of International Bond Markets,"
Economics and Finance Discussion Papers
97-01, Economics and Finance Section, School of Social Sciences, Brunel University.
- Barr, David G. & Priestley, Richard, 2004. "Expected returns, risk and the integration of international bond markets," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 71-97, February.
- David Barr & Richard Priestley, . "Expected returns, risk and the integration of international bond markets," CERF Discussion Paper Series 97-04, Economics and Finance Section, School of Social Sciences, Brunel University.
- Carlo Acerbi & Dirk Tasche, 2002. "Expected Shortfall: A Natural Coherent Alternative to Value at Risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 379-388, 07.
- Wei, Jason Z., 2003. "A multi-factor, credit migration model for sovereign and corporate debts," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 709-735, October.
- Bekaert, Geert & Harvey, Campbell R, 1995.
" Time-Varying World Market Integration,"
Journal of Finance,
American Finance Association, vol. 50(2), pages 403-44, June.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
When requesting a correction, please mention this item's handle: RePEc:bis:bisbpc:58-04. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Beslmeisl)
If references are entirely missing, you can add them using this form.