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Factor Investing in Fixed-Income – Defining and Exploiting Value in Sovereign Bond Markets

2019

Jean-Michel Maeso, Lionel Martellini, Riccardo Rebonato

Factor Investing in Fixed-Income - Cross-Sectional and Time-Series Momentum in Sovereign Bond Markets

2019

Jean-Michel Maeso, Lionel Martellini, Riccardo Rebonato

Factor Investing in Sovereign Bond Markets – A Time-Series Perspective

2019

Jean-Michel Maeso, Lionel Martellini, Riccardo Rebonato

Predicting Risk Premia for Treasury Bonds: The ERI Risk Premium Monitor

2017

Riccardo Rebonato

Catastrophe Bonds: An Important New Financial Instrument

2014

Michael Edesess

Do Multiple Credit Ratings Signal Complexity? Evidence from the European Triple-A Structured Finance Securities

2014

Frank J. Fabozzi, Mike E. Nawas, Dennis Vink

Related Securities and Equity Market Quality: The Case of CDS

2013

Ekkehart Boehmer, Sudheer Chava, Heather E. Tooke

Reactions to "A Review of Corporate Bond Indices: Construction Principles, Return Heterogeneity, and Fluctuations in Risk Exposures"

2013

Felix Goltz, Véronique Le Sourd, Masayoshi Mukai, Fahd Rachidy

Reactions to the EDHEC Study “Optimal Design of Corporate Market Debt Programmes in the Presence of Interest-Rate and Inflation Risks”

2012

Noël Amenc, Felix Goltz, Vincent Milhau, Masayoshi Mukai

The Link between Eurozone Sovereign Debt and CDS Prices

2012

Dominic O’Kane

Bond Liquidity Premia

2011

Jean-Sébastien Fontaine, René Garcia

Force-fitting CDS Spreads to CDS Index Swaps

2011

Dominic O’Kane

A Review of Corporate Bond Indices: Construction Principles, Return Heterogeneity, and Fluctuations in Risk Exposures

2011

Felix Goltz, Carlos Heitor Campani

Optimal Design of Corporate Market Debt Programmes in the Presence of Interest-Rate and Inflation Risks

2011

Lionel Martellini, Vincent Milhau

Shedding Light on Alternative Beta : A Volatility and Fixed Income Asset Class Comparison

2007

David Kuenzi

A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios

2007

Lionel Martellini, Jean-Christophe Meyfredi

Derivatives Strategies for Bond Portfolios

2006

Felix Goltz, Lionel Martellini, Volker Ziemann.

From Delivering to the Packaging of Alpha

2005

Noël Amenc, Philippe Malaise, Lionel Martellini

Exploiting Predictability in the Time-Varying Shape of the Term Structure of Interest Rates

2005

Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet

The Benefits of Bond ETFs for Institutional Investors - The Natural Vehicle for a Core-Satellite Approach

2004

Noël Amenc, Philippe Malaise, Lionel Martellini, Jean-René Giraud

Be Active with your Bond Trackers

2004

Noël Amenc, Jean-René Giraud, Philippe Malaise, Lionel Martellini

Evidence of Predictability in Bond Indices and Implications for Fixed-Income Tactical Style Allocation Decisions

2003

Noël Amenc, Philippe Malaise, Lionel Martellini, Daphné Sfeir