Roger Walder

University of Lausanne (HEC), International Center FAME and Banque Cantonale Vaudoise, Switzerland

Ch. de Sus-Craux 10B

CH-1166 Perroy

Switzerland

SCHOLARLY PAPERS

3

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CITATIONS
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Scholarly Papers (3)

1.

Integrated Market and Credit Risk Management of Fixed Income Portfolios

Number of pages: 66 Posted: 25 Feb 2003
Roger Walder
University of Lausanne (HEC), International Center FAME and Banque Cantonale Vaudoise, Switzerland
Downloads 1,070 (14,592)
Citation 5

Abstract:

Risk Management, Credit Risk Modeling, Default Correlation

2.

Dynamic Allocation of Treasury and Corporate Bond Portfolios

FAME Research Paper No. 64
Number of pages: 56 Posted: 12 Jun 2002
Roger Walder
University of Lausanne (HEC), International Center FAME and Banque Cantonale Vaudoise, Switzerland
Downloads 452 (45,574)
Citation 8

Abstract:

Dynamic Asset Allocation, Portfolio Management, Credit Risk

3.

Interactions between Market and Credit Risk: Modeling the Joint Dynamics of Default-free and Defaultable Bond Term Structures

FAME Research Paper No. 56
Number of pages: 53 Posted: 16 Dec 2002
Roger Walder
University of Lausanne (HEC), International Center FAME and Banque Cantonale Vaudoise, Switzerland
Downloads 301 (79,470)
Citation 4

Abstract:

Term Structure Model, Credit Risk, Defaultable Bond, Efficient Method of Moments