Keith Forbes

Fairtree Capital

8 Boundary Rd

Newlands, 7700

South Africa

http://fairtree.com

SCHOLARLY PAPERS

4

DOWNLOADS

194

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Sharpe–Risk Tradeoffs in Portfolios of Corporate Bonds

Number of pages: 8 Posted: 25 Jun 2019 Last Revised: 27 Feb 2020
Keith Forbes
Fairtree Capital
Downloads 69 (589,199)

Abstract:

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Risk target, Sharpe ratio

2.

Loss Distributions of Credit Portfolios Containing Tranches and Repeated Obligors

Number of pages: 13 Posted: 21 Jul 2019 Last Revised: 26 Feb 2020
Keith Forbes
Fairtree Capital
Downloads 49 (694,577)

Abstract:

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joint loss distributions, single-factor Gaussian copula, repeated obligors, tranches

3.

Pricing Tranches in a CAPM-like World

Number of pages: 12 Posted: 08 May 2019 Last Revised: 28 Jul 2019
Keith Forbes
Fairtree Capital
Downloads 39 (760,360)

Abstract:

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CDO, tranche loss variance

4.

Moments of Truth: Forecasting the Mean, Variance, and Skewness of Asset Returns

Number of pages: 4 Posted: 31 May 2019
Keith Forbes
Fairtree Capital
Downloads 37 (774,829)

Abstract:

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expected returns, inductive and deductive reasoning