Arturo Cifuentes; Bernardo Pagnoncelli

FIXED INCOME PORTFOLIOS SUBJECT6

Fixed Income Portfolios Subject to Credit Risk: Rethinking the Fundamentals

The subprime crisis shook the foundations of the global financial system and exposed the weaknesses behind current credit-risk models. We argue that tweaking or fine-tuning such models is unlikely to improve their predictive capabilities as they were not designed to capture the trimodal hape of the [...]

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