New Techniques to Manage Sovereign Credit Risk

Guest article written for AllAboutAlpha.com – the official publication of the  Chartered Alternative Investment Analyst (CAIA) Association originally posted at: http://allaboutalpha.com/blog/2011/12/01/new-techniques-to-manage-sovereign-credit-risk/ In a recent paper entitled Managing Sovereign Credit Risk in Bond Portfolios (Bruder, Hereil & Roncalli October 2011) the writers assert that, “…with the recent development of the European debt crisis, traditional index bond management has severely called into question….”. Traditionally, sovereign bond indices use the level of outstanding debt each country has to…

Continue Reading...

Is it Time to Rethink Sovereign Debt?

Hypothetical News: “…Traders around the world today began to sell all of the USA’s  military assets after a devastating terrorist attack removed confidence in the nation’s ability to protect itself.  In other news, a patient who may become terminally ill in the next few weeks has had all treatment ceased as doctors do not wish to invest any more medical-capital into a patient who only has a sixty percent chance of survival…” On the face…

Continue Reading...

Speaker