Slow adaptors want to be sure the change is permanent and necessary before they are willing to adapt to it. They do not believe in change for change’s sake. Slow adaptors often need specific details about the change event to determine how the change will directly impact them and their day-to-day routines. Slow adaptors require [...]
Our investigation demonstrates that all of the examined bond indices exhibit negative skewness and excess kurtosis, both of which increase the probability of extreme negative returns. For all asset classes except for the most liquid sector, government bonds, significant autocorrelation is identified in monthly index returns. Therefore, sample estimators of standard deviation, skewness and kurtosis [...]
The macroeconomic analysis of corporate bond markets typically is based on aggregate measures of growth, employment, interest rates and monetary policy. The impact of changes of these variables on corporate revenues and cash flows and thus on credit risk depends on financial and operating leverage and on the ratio of earnings or cash flows to [...]
In determining if quantitative approaches may add value, and which model is best suited, both investment horizon and performance targets as well as credit-specific characteristics should be considered. We would distinguish those investors who are concerned with mark-to-market fluctuations from those who are focused on absolute return to maturity. The latter may find the long-term [...]