36 citations · 39 across the 11 of their papers we have counts for
11 papers
Correlated Random Walks and the Joint Survival Probability
Mark B. Wise, Vineer Bhansali
First passage models, where corporate assets undergo correlated random walks and a company defaults if its assets fall below a threshold provide an attractive framework for modelin…
Debt Subordination and The Pricing of Credit Default Swaps
Peter B. Lee, Mark B. Wise, Vineer Bhansali
First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default…
Diversification and Gerneralized Tracking Errors For Correlated Non-Normal Returns
Mark B. Wise, Vineer Bhansali
The probability distribution for the relative return of a portfolio constructed from a subset n of the assets from a benchmark, consisting of N assets whose returns are multivariat…
Implications of Correlated Default For Portfolio Allocation To Corporate Bonds
Mark B. Wise, Vineer Bhansali
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility of correlated defaults. Using a mul…
Portfolio Allocation to Corporate Bonds with Correlated Defaults
Mark B. Wise, Vineer Bhansali
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility of correlated defaults. Under fairl…
Forecasting Portfolio Risk in Normal and Stressed Markets
Vineer Bhansali, Mark B. Wise
The instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk facto…