Managing sovereign credit risk in bond portfolios
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More about this item
Keywordssovereign credit risk; credit spread; convex risk measure; sabr model; CDS; bond indices; fundamental indexation; risk-based indexation; risk budgeting;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-20 (All new papers)
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