Patrick Houweling

Robeco Investment Research

Researcher & Portfolio Manager Quantitative Credits

Weena 850

Rotterdam, 3014 DA

Netherlands

http://www.robeco.com/quant

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    • Tel: +31-10-2243538
SCHOLARLY PAPERS

11

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CITATIONS
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Top 11,223

in Total Papers Citations

68

Scholarly Papers (11)

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1.

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 BlueCove Limited
Downloads 5,324 (1,326)
Citation 8

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

2.

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 4,855 (1,556)
Citation 6

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

3.

Dts (Duration Times Spread)

Journal of Portfolio Management, Winter 2007
Number of pages: 48 Posted: 14 Jan 2007
Arik Ben Dor, Lev Dynkin, Jay Hyman, Patrick Houweling, Erik van Leeuwen and Olaf Penninga
Lehman Brothers, New York - Fixed Income Research, Lehman Brothers, Lehman Brothers, Robeco Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads 4,119 (2,081)

Abstract:

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credit risk, corporate bonds

4.

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, University of Amsterdam - Department of Quantitative Economics (KE) and Robeco Asset Management
Downloads 2,067 (6,738)

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5.

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 1,757 (8,883)
Citation 5

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

6.

Momentum Spillover from Stocks to Corporate Bonds

Journal of Banking and Finance, 2017, Vol. 79
Number of pages: 47 Posted: 22 Aug 2012 Last Revised: 20 Jul 2017
Daniel Haesen, Patrick Houweling and Jeroen van Zundert
Robeco Investment Research, Robeco Investment Research and BlueCove Limited
Downloads 882 (25,773)
Citation 2

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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 618 (41,876)
Citation 1

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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 579 (45,661)
Citation 1

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

9.

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 277 (109,094)

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

10.

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 249 (121,878)
Citation 4

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

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:

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