Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
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More about this item
Keywords
fixed-income portfolio; financial crisis; flight-to-quality; contagion; expected tail loss;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2012-07-29 (Corporate Finance)
- NEP-FMK-2012-07-29 (Financial Markets)
- NEP-RMG-2012-07-29 (Risk Management)
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