Tag Archives: investments

Conditional credit expectation rule

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In the models of both Kyle (1985) and Grossman and Stiglitz (1980), the equilibrium auction pricing rule is uniform in the sense that it generates a single price at which all orders are executed; in Glosten and Milgrom (1985) each order is executed at a different price, which is determined by the conditional expectation rule; [...]

Selection of your credit spread class

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The risk profile of a credit portfolio, in absolute terms as well as relative to a benchmark index, is largely determined by the weighting of different risk classes. Of course, the allocation of capital to riskier asset classes not only increases risk, but also offers ample opportunities for outperformance. From a top-down perspective there are [...]

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