A company's credit default swap spread is the cost per annum for protection against a
default by the company. In this paper we analyze data on credit default swap spreads …

The growing importance of SRI in the investment arena has resulted in considerable
academic interest in the performance of socially responsible equity mutual funds …

In geodetics, a benchmark is a plaque embedded in rock or soil to show the precise latitude,
longitude, and altitude of a given location. That the term “benchmark” has been extended, as …

This paper analyses the ability of credit default swap (CDS) spreads, bond spreads and
stock prices to anticipate the decisions of the main rating agencies, regarding the largest …

We introduce a modelling paradigm which integrates credit risk and market risk in describing
the random dynamical behaviour of the underlying fixed income assets. We then consider …

Previous research suggests that credit rating announcements by Moody's are anticipated by
participants in the credit default swap market. In particular, it is argued that downgrades and …

Bond portfolio management has not become easier in recent years. Government bond yields
have fallen consistently over the last decade, and investors have been looking for yield …

We show that accounting information releases generate large and immediate price impacts,
ie jumps, in credit default swap (CDS) spreads. Our approach is multivariate, which allows …

Quantitative techniques have long been used to measure and control risk in credit portfolios.
More recently, interest has grown in a systematic approach to generating alpha in credit …

This article deals with the problem of optimal allocation of capital to corporate bonds in fixed
income portfolios when there is the possibility of correlated defaults. Under fairly general …