Matches in SemOpenAlex for { <https://semopenalex.org/work/W2951694786> ?p ?o ?g. }
Showing items 1 to 85 of
85
with 100 items per page.
- W2951694786 abstract "We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation between sector spreads and rate shifts. However, we also observe that the correlations between spreads and Treasury twists reversed recently, which is likely attributable to the Fed's ongoing quantitative easing. We also find that short-term effective durations in the banking industry are now significantly lower than historical patterns would indicate. Our findings are relevant for credit portfolio managers contemplating the impact of rising interest rates and steepening Treasury curve on corporate bond portfolios." @default.
- W2951694786 created "2019-06-27" @default.
- W2951694786 creator A5043196193 @default.
- W2951694786 creator A5044503577 @default.
- W2951694786 creator A5063356546 @default.
- W2951694786 date "2013-12-05" @default.
- W2951694786 modified "2023-09-27" @default.
- W2951694786 title "Credit Portfolio Management in a Turning Rates Environment" @default.
- W2951694786 hasPublicationYear "2013" @default.
- W2951694786 type Work @default.
- W2951694786 sameAs 2951694786 @default.
- W2951694786 citedByCount "0" @default.
- W2951694786 crossrefType "posted-content" @default.
- W2951694786 hasAuthorship W2951694786A5043196193 @default.
- W2951694786 hasAuthorship W2951694786A5044503577 @default.
- W2951694786 hasAuthorship W2951694786A5063356546 @default.
- W2951694786 hasConcept C10138342 @default.
- W2951694786 hasConcept C106159729 @default.
- W2951694786 hasConcept C121332964 @default.
- W2951694786 hasConcept C144133560 @default.
- W2951694786 hasConcept C149782125 @default.
- W2951694786 hasConcept C162118730 @default.
- W2951694786 hasConcept C162324750 @default.
- W2951694786 hasConcept C166957645 @default.
- W2951694786 hasConcept C175025494 @default.
- W2951694786 hasConcept C178350159 @default.
- W2951694786 hasConcept C205649164 @default.
- W2951694786 hasConcept C24890656 @default.
- W2951694786 hasConcept C2524010 @default.
- W2951694786 hasConcept C2780821815 @default.
- W2951694786 hasConcept C2780889827 @default.
- W2951694786 hasConcept C2781291010 @default.
- W2951694786 hasConcept C28719098 @default.
- W2951694786 hasConcept C3018122192 @default.
- W2951694786 hasConcept C33923547 @default.
- W2951694786 hasConcept C556758197 @default.
- W2951694786 hasConcept C69738904 @default.
- W2951694786 hasConceptScore W2951694786C10138342 @default.
- W2951694786 hasConceptScore W2951694786C106159729 @default.
- W2951694786 hasConceptScore W2951694786C121332964 @default.
- W2951694786 hasConceptScore W2951694786C144133560 @default.
- W2951694786 hasConceptScore W2951694786C149782125 @default.
- W2951694786 hasConceptScore W2951694786C162118730 @default.
- W2951694786 hasConceptScore W2951694786C162324750 @default.
- W2951694786 hasConceptScore W2951694786C166957645 @default.
- W2951694786 hasConceptScore W2951694786C175025494 @default.
- W2951694786 hasConceptScore W2951694786C178350159 @default.
- W2951694786 hasConceptScore W2951694786C205649164 @default.
- W2951694786 hasConceptScore W2951694786C24890656 @default.
- W2951694786 hasConceptScore W2951694786C2524010 @default.
- W2951694786 hasConceptScore W2951694786C2780821815 @default.
- W2951694786 hasConceptScore W2951694786C2780889827 @default.
- W2951694786 hasConceptScore W2951694786C2781291010 @default.
- W2951694786 hasConceptScore W2951694786C28719098 @default.
- W2951694786 hasConceptScore W2951694786C3018122192 @default.
- W2951694786 hasConceptScore W2951694786C33923547 @default.
- W2951694786 hasConceptScore W2951694786C556758197 @default.
- W2951694786 hasConceptScore W2951694786C69738904 @default.
- W2951694786 hasLocation W29516947861 @default.
- W2951694786 hasOpenAccess W2951694786 @default.
- W2951694786 hasPrimaryLocation W29516947861 @default.
- W2951694786 hasRelatedWork W1509865451 @default.
- W2951694786 hasRelatedWork W1553067189 @default.
- W2951694786 hasRelatedWork W1599142912 @default.
- W2951694786 hasRelatedWork W1990691839 @default.
- W2951694786 hasRelatedWork W2032561159 @default.
- W2951694786 hasRelatedWork W2078263602 @default.
- W2951694786 hasRelatedWork W2096012388 @default.
- W2951694786 hasRelatedWork W2100122152 @default.
- W2951694786 hasRelatedWork W2115991482 @default.
- W2951694786 hasRelatedWork W2208676639 @default.
- W2951694786 hasRelatedWork W2884562201 @default.
- W2951694786 hasRelatedWork W2972645279 @default.
- W2951694786 hasRelatedWork W3013076284 @default.
- W2951694786 hasRelatedWork W3047790459 @default.
- W2951694786 hasRelatedWork W3122676179 @default.
- W2951694786 hasRelatedWork W3125105455 @default.
- W2951694786 hasRelatedWork W3125743905 @default.
- W2951694786 hasRelatedWork W3125860260 @default.
- W2951694786 hasRelatedWork W3145963961 @default.
- W2951694786 hasRelatedWork W60754891 @default.
- W2951694786 isParatext "false" @default.
- W2951694786 isRetracted "false" @default.
- W2951694786 magId "2951694786" @default.
- W2951694786 workType "article" @default.