Patrick Houweling

Robeco Investment Research

Quantitative Researcher & Portfolio Manager

Coolsingel 120

Rotterdam, 3011 AG

Netherlands

http://www.robeco.com/quant

SCHOLARLY PAPERS

11

DOWNLOADS
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SSRN RANKINGS

Top 1,379

in Total Papers Downloads

16,666

CITATIONS
Rank 3,985

SSRN RANKINGS

Top 3,985

in Total Papers Citations

135

Scholarly Papers (11)

1.

Pricing Default Swaps: Empirical Evidence

Journal of International Money and Finance, Vol. 24, pp. 1200-1225, 2005, EFA 2002 Berlin Meetings Presented Paper, EFMA 2002 London Meetings, ERIM Report Series
Number of pages: 49 Posted: 24 Dec 2001
Patrick Houweling and Ton Vorst
Robeco Investment Research and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 4,671 (1,140)
Citation 64

Abstract:

credit default swaps, credit derivatives, credit risk, default risk, risk-neutral valuation, default-free interest rates

2.

DTS (Duration Times Spread)

Journal of Portfolio Management, Winter 2007
Number of pages: 48 Posted: 14 Jan 2007
Lehman Brothers, New York - Fixed Income Research, Lehman Brothers, Lehman Brothers, Robeco Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads 2,361 (1,801)

Abstract:

credit risk, corporate bonds

3.

The Joint Estimation of Term Structures and Credit Spreads

Journal of Empirical Finance, Vol. 8, No. 3, pp. 297-323, 2001
Number of pages: 25 Posted: 27 Apr 1999
Patrick Houweling, Frank R. Kleibergen and Jaap Hoek
Robeco Investment Research, Brown University - Department of Economics and Robeco Asset Management
Downloads 2,001 (5,099)
Citation 9

Abstract:

4.

Comparing Possible Proxies of Corporate Bond Liquidity

Journal of Banking and Finance, Vol. 29, No. 6, pp. 1331-1358, 2005, EFA 2003 Annual Conference Paper No. 298
Number of pages: 39 Posted: 01 Aug 2003
Patrick Houweling, Albert Mentink and Ton Vorst
Robeco Investment Research, AEGON Group - AEGON Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 1,527 (7,584)
Citation 41

Abstract:

liquidity, premiums, spreads, credit, corporate bonds, yields, fama-french model

5.

Factor Investing in the Corporate Bond Market

Financial Analysts Journal, 2017, Vol. 73, No. 2
Number of pages: 49 Posted: 31 Oct 2014 Last Revised: 13 Feb 2017
Patrick Houweling and Jeroen van Zundert
Robeco Investment Research and Robeco Asset Management
Downloads 1,330 (3,260)

Abstract:

corporate bonds, factor premiums, strategic asset allocation, size, low-risk, value, momentum

6.

Momentum Spillover from Stocks to Corporate Bonds

Number of pages: 43 Posted: 22 Aug 2012 Last Revised: 03 Dec 2015
Daniel Haesen, Patrick Houweling and Jeroen van Zundert
Robeco Investment Research, Robeco Investment Research and Robeco Asset Management
Downloads 423 (37,335)
Citation 1

Abstract:

corporate bond, momentum, time-varying risk, residual return

7.

On the Nature and Predictability of Corporate Bond Returns

Number of pages: 47 Posted: 23 Aug 2011 Last Revised: 15 Nov 2013
Daniel Haesen and Patrick Houweling
Robeco Investment Research and Robeco Investment Research
Downloads 407 (42,421)

Abstract:

corporate bonds, credit spreads, excess returns, predictability, market timing

8.

On the Performance of Fixed Income Exchange Traded Funds

The Journal of Index Investing, Summer 2012, Vol. 3, No. 1: pp. 39-44
Number of pages: 13 Posted: 14 May 2011 Last Revised: 30 May 2012
Patrick Houweling
Robeco Investment Research
Downloads 344 (49,935)

Abstract:

ETFs, passive investing, index tracking, fixed income, Treasury bonds, corporate bonds, performance evaluation

9.

Valuing Euro Rating-Triggered Step-Up Telecom Bonds

Journal of Derivatives, Spring, pp. 63-80, 2004
Number of pages: 46 Posted: 11 Mar 2003
Patrick Houweling, Albert Mentink and Ton Vorst
Robeco Investment Research, AEGON Group - AEGON Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 238 (99,313)
Citation 5

Abstract:

step-up bonds, rating-triggered, credit risk, reduced form models, Jarrow Lando Turnbull

10.

An Empirical Comparison of Default Swap Pricing Models

ERIM Report Series Reference No. ERS-2002-23-F&A
Number of pages: 55 Posted: 03 Nov 2009
Patrick Houweling and Ton Vorst
Robeco Investment Research and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 223 (95,604)
Citation 15

Abstract:

credit default swaps, credit risk, default risk, market prices, credit derivatives, default-free interest rates, empirical models

11.

Ibbotson’s Default Premium: Risky Data

The Journal of Investing, Summer, Vol. 22 No. 2, pp. 95-105
Posted: 29 Jul 2011 Last Revised: 23 Aug 2014
Winfried G. Hallerbach and Patrick Houweling
Robeco Asset Management, Quantitative Investment Research and Robeco Investment Research

Abstract:

Ibbotson, default premium, corporate bonds, long-term data series