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Diversifying market and default risk in high grade sovereign bond portfolios

In: Portfolio and risk management for central banks and sovereign wealth funds

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  • Myles Brennan

    (World Bank)

  • Adam Kobor

    (World Bank)

  • Vidhya Rustaman

    (World Bank)

Abstract

No abstract is available for this item.

Suggested Citation

  • Myles Brennan & Adam Kobor & Vidhya Rustaman, 2011. "Diversifying market and default risk in high grade sovereign bond portfolios," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 49-74, Bank for International Settlements.
    • Handle: RePEc:bis:bisbpc:58-04
    as

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    File URL: http://www.bis.org/publ/bppdf/bispap58c.pdf
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    References listed on IDEAS

    as
    1. Eli M Remolona & Michela Scatigna & Eliza Wu, 2007. "Interpreting sovereign spreads," BIS Quarterly Review, Bank for International Settlements, March.
    2. Bekaert, Geert & Harvey, Campbell R, 1995. "Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    3. Carlo Acerbi & Dirk Tasche, 2002. "Expected Shortfall: A Natural Coherent Alternative to Value at Risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 379-388, July.
    4. Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2010. "EMU and European government bond market integration," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2851-2860, December.
    5. Jeffery D Amato & Eli M Remolona, 2003. "The credit spread puzzle," BIS Quarterly Review, Bank for International Settlements, December.
    6. Barr, David G. & Priestley, Richard, 2004. "Expected returns, risk and the integration of international bond markets," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 71-97, February.
    7. Wei, Jason Z., 2003. "A multi-factor, credit migration model for sovereign and corporate debts," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 709-735, October.
    8. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    9. Robert D. Arnott & Jason Hsu & Philip Moore, 2005. "Fundamental Indexation," Financial Analysts Journal, Taylor & Francis Journals, vol. 61(2), pages 83-99, March.
    10. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
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