Fixed income

• Infrastructure

Portfolio allocation to corporate bonds with correlated defaults

This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility ofcorrelated defaults. Under fairly general assumptions for the distribution of thetotal net assets of a set…

• 01 Nov 2002

• Technology

Tracing Transparency

Corporate bond traders are hesitantly embracing greater transparency and trying to figure out how to use it.

• 01 Nov 2002

• Infrastructure

Margining the spread

Liquidity risk

• 01 Oct 2000

• Infrastructure

Pricing liquidity into derivatives

Volatility

• 01 Dec 1999