January 2023 Robert Jarrow[1] Donald R. van Deventer[2] Abstract This paper uses a bottom-up, reduced form credit risk model...
CONNECT ME
A Practical Guide to the Valuation of Coupon-Bearing Fixed Income Securities
Robert A. Jarrow and Donald R. van Deventer A Revised Version of this Note is Forthcoming in the Journal of Fixed Income ...
The Valuation of Corporate Coupon Bonds
Abstract This paper proposes and estimates a tractable, arbitrage-free valuation model for corporate coupon bonds that includes...
A Quantitative Assessment of Errors from The Use of Credit Ratings in Credit Portfolio Management, Part 3: Credit Spreads
DOWNLOAD PDF Abstract This is the third of three attempts to justify the use of 158-year-old credit ratings in the credit...
A Brief Introduction to the Links between Macro Factors and Default Probabilities: Exxon Mobil versus Diamondback Energy
A Brief Introduction to the Links between Macro Factors and Default Probabilities: Exxon Mobil versus Diamondback Energy...
Maximizing Risk-Adjusted Fixed Income Returns: An Interview with a Retail Investor who Outperformed AGG by 9.57%
Mr. X, How would you describe your fixed income investment strategy? “I see my overall strategy as a go anywhere, any maturity...