In this article, we outline a new process for managing credit asset portfolios. By combining techniques used by our clients with our own experiences and research, we have developed an approach that will lead to out-performance.

Abstract We consider a structural model of default risk that incorporates the short-term uncertainty inherent in default events. It is based on the assumption of incomplete information: We take as a premise that bond investors are not certain about the true level of firm value that will trigger default.

Fraud, opaque accounting practices and incomplete data are unavoidable. But are they factored into a credit risk forecast? An emerging class of models does the job by assuming incomplete information. Barra’s Lisa Goldberg explains

• Why transaction analysis is important: the impact on returns. • The AIMR Standards. • The surprising complexity of institutional trading. • Practical approaches to reducing costs and capturing more performance.

Deviations between stock price and fundamental value for real estate investment trusts (sf-20040219-gentry.pdf by William M. Gentry & Charles M. Jones)