REBONATO Riccardo, PhD


Speciality : Finance
Expertise : Interest Rate Risk Modelling with Applications to Bond Portfolio Management and Fixed-Income Derivatives Pricing

EDHEC Business School
10 Fleet Place, Ludgate
London EC4M 7RB - England

Tél. : +44 (0)207 871 6740
Fax : +44 (0)207 2482 209

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Documents to download

CV REBONATO Riccardo...
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Publications edhec

This paper has been produced as part of the "ETF, Indexing and Smart Beta Investment Strategies" Research Chair at EDHEC-Risk Institute, in...
International Journal of Theoretical and Applied Finance, Vol. 21, No. 07
Chapter: Stress Testing with Bayesian Nets and Related Techniques: Meeting the Engineering Challenges. Ed. PALGRAVE MACMILLAN
Investors in the Treasury market often observe an upward-sloping yield curve.1 This means that, by assuming ‘duration risk’, they can very often...