Investment Theory and Risk Management

Investment Theory and Risk Management

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Using equal weighting, the covariance between these two asset classes is a historical average. ... Using the data in the spreadsheet to this chapter on fixed income (FI) and U.S. equity, use the MV GARCH correlations to construct a ... If we consider, too, that with default comes less than full recovery, then a more precise estimate of default likelihood is the spread adjusted for the expected recovery.

Title:Investment Theory and Risk Management
Author:Steven Peterson
Publisher:John Wiley & Sons - 2012-04-18


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