Tracking bond indices in an integrated market and credit risk environment

Quantitative Finance

Volumn 3, Issue 2, 2003, Pages 117-135

  Jobst, Norbert J ^a,b,c   Zenios, Stavros A ^a,d  

^a UNIVERSITY OF CYPRUS   (Cyprus)

^b BRUNEL UNIVERSITY   (United Kingdom)

^c Fidelity Investments   (United Kingdom)

^d UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0346265074     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1088/1469-7688/3/2/306     Document Type: Article

References (40)

1. Altaian E I, Cooke D and Kishore V 1999 Report on defaults and returns on high-yield bonds: analysis through 1998 and default outlook for 1999-2000 Credit Risk: Models and Management ed D Shimko (London: Risk Books) pp 5-23
2. Andersson F, Mauser H, Rosen D and Uryasev S 2001 Credit risk optimization with conditional value-at-risk criterion Math. Program. B 89 273-91
3. Bielecki T R and Rutkowski M 2002 Credit Risk: Modelling, Valuation and Hedging (Berlin: Springer)
4. Black F and Karasinski P 1992 Bond and option pricing when short rates are lognormal Financial Analysts J. 46 52-9
5. Black F and Scholes M J 1973 The pricing of options and corporate liabilities J. Political Economy 81 637-54
6. Bucay N and Rosen D 1999 Credit risk of an international bond portfolio: a case study Algo Res. Q. 2 9-29
7. Consiglio A and Zenios S A 2001 Integrated simulation and optimization models for tracking international fixed income indices Math. Program. 89 311-39
8. Duffie D and Singleton K J 1999 Modelling term structures of defaultable bonds Rev. Financial Studies 12 687-720
9. Ellison E F D, Hajian M, Levkovitz R, Maros I, Mitra G and Sayers D 1999 Fortmp manual, release 3 Technical report OptiRisk Systems and Brunel University
10. Gregory-Costello M 2000 Credit limits, how credit protection is changing bond markets Risk July
11. Hakansson N H and Ziemba W T 1995 Capital growth theory Finance Handbook ed R A Jarrow, V Maksimovic and W T Ziemba (Amsterdam: North-Holland) pp 123-44
12. Hull J and White A 1994 Numerical procedures for implementing term structure models II: two-factor models. J. Derivatives 2 31-48
13. Hull J and White A 1998 Using riskmetrics to get a and σ in the Hull-White model Training Material
14. Jarrow R A, Lando D and Turnbull S M 1997 A Markov model for the term structure of credit risk spreads Rev. Financial Studies 10 481-523
15. Jarrow R A and Tumbull S M 1995 Pricing derivatives and financial securities subject to credit risk J. Finance 50 53-85
16. Jarrow R A and Turnbull S M 2000 The intersection of market and credit risk. J. Banking Finance 24 271-99
17. Jobst N J 2002 On credit risk modelling, management and optimisation PhD Thesis Department of Mathematical Sciences, Brunel University
18. Jobst N J and Zenios S A 2001 The tail that wags the dog: integrating credit risk in asset portfolios J. Risk Finance 3 31-43
19. Jobst N J and Zenios S A 2002 On simulation of portfolios of interest rate and credit risk sensitive securities. Working paper HERMES Center on Computational Finance and Economics, University of Cyprus, Nicosia, Cyprus
20. Kiesel R, Perraudin W and Taylor A 2001 The structure of credit risk: spread volatility and ratings transitions Working Paper Bank of England
21. Kijima M and Muromachi Y 2000 Evaluation of credit risk of a portfolio with stochastic interest rate and default processes J. Risk 3 5-36
22. Konno H and Yamazaki H 1991 Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market Manage. Sci. 37519-31
23. Lakonishok J, Shleifer A and Vishny R V 1992 The structure and performance of money management industry Brookings Papers on Economic Activity pp 339-91
24. Lando D 1998 On Cox processes and credit risky securities Rev. Derivatives Res. 2 99-120
25. Markowitz H M 1952 Portfolio selection J. Finance 7 77-91
26. Mausser H and Rosen D 1999 Efficient risk/return frontiers for credit risk Algo Res. Q. 2 35-48
27. Merton R C 1974 On the pricing of corporate debt: the risk structure of interest rate J. Finance 2 449-70
28. Morgan J P 1997 Creditmetrics - Technical Document (New York: J P Morgan)
29. Mossavar-Rahmani S 1997 Indexing fixed income assets The Handbook of Fixed Income Securities 5th edn, ed F Fabozzi (Burr Ridge, IL: Irwin Professional)
30. Mulvey J M and Zenios S A 1994 Capturing the correlations of fixed-income instruments Manage. Sci. 40 1329-42
31. Saunders A 1999 Credit Risk Measurement, New Approaches for Value at Risk and Other Paradigms (New York: Wiley)
32. Schmid B and Zagst R 2000 A three-factor defaultable term structure model J. Fixed Income 10 63-79
33. Schönbucher P 1999 A tree implementation of a credit spread model for credit derivatives Technical Report University of Bonn
34. Schönbucher P 2000 Credit risk modelling and credit derivatives Inaugural Dissertation Rheinische Friedrich-Wilhelms-Universität Bonn
35. Schönbucher P and Schubert D 2001 Copula-dependent default risk in intensity models Technical Report Department of Statistics, University of Bonn
36. Seix C and Akhoury R 1986 Bond indexation: the optimal quantitative approach J. Portfolio Management 2 50-3
37. Worzel K J, Vassiadou-Zeniou C and Zenios S A 1994 Integrated simulation and optimization models for tracking fixed-income indices Operations Res. 42 223-33
38. Zagst R, Kehrbaum J and Schmid B 2002 Portfolio optimization under credit risk Algo Res. Q. 5 23-41
39. Zenios S A 2003 Practical Financial Optimisation unpublished draft
40. Zenios S A, Holmer M, McKendall R and Vassiadou-Zeniou C 1998 Dynamic models for fixed-income portfolio management under uncertainty J. Econ. Dynamics Control 22 1517-41