Concept
Fixed-income attribution
Related publications (7)
Essays in Monetary Policy and Asset Pricing
This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...
EPFL2022The effects of business cycle and debt maturity on a firm's investment and default decisions
We propose a model that jointly determines the capital structure and investment decisions taking business cycle and debt maturity into account. It endogenously determines the triggers of investment/disinvestment and default, which depend on the state of th ...
Elsevier Science Bv2015Term-Structure Models: A Graduate Course
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathe ...
Springer Finance2009Trend-oriented sampling strategy and estimation of soluble reactive phosphorus loads in streams
[1] Nutrient transfer from soils to surface waters is associated with large, hydrologically induced fluctuations. Consequently, stream-based estimation of long-term changes in nutrient leaching is masked by variations of stream discharge. Using high-resolu ...
Amer Geophysical Union2005Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility
Most term structure models assume bond markets are complete, that is, that all fixed income derivatives can be perfectly replicated using solely bonds. However, we find that, in practice, swap rates have limited explanatory power for returns on at-the-mone ...
2002