What is the drawback of the default correlation measure and what alternative measure is used in measuring portfolio credit risk?
Answer to relevant QuestionsWhat would be a suitable metric to assess credit risk on a relative basis when making a relative value decision? Give two interpretations of the value of a bond from an option’s perspective. The investment objective of the Threadneedle bond fund is “To outperform the benchmark by 3% per annum (gross of fees) over an 18-24 month period” What type of fund is this? The excerpt that follows is taken from an article titled “Smith Plans to Shorten,” which appeared in the January 27, 1992, issue of BondWeek, p. 6: “When the economy begins to rebound and interest rates start to move ...Suppose a manager wants to borrow $50 million of a Treasury security that it plans to purchase and hold for 20 days. The manager can enter into a reverse repo agreement with a dealer firm that would provide financing at a ...
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