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Filtering by: Creator Zhao, Yunfeng Publisher Worcester Polytechnic Institute

Risk Analysis for Corporate Bond Portfolios

Keyword:

Fama-French multi-factor model, Value at Risk, Credit Risk, liquidity risk, and market risk

Creator:

Zhao, Yunfeng

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2013-05-02

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences