RiskMetrics Journal - Spring 2001

  • The One-Factor CreditMetrics Model In The New Basel Capital Accord
  • Term Structure Estimation for U.S. Corporate Bond Yields
  • Risk Budgeting for Corporate Bond Portfolios
  • Comparing Methods To Approximate Mortgage-Backed Security VaR
    • July 18, 2001
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    Spring 2001574.15 KB