Published Articles

Publication Citation
Impact of Correlated Default Risk on Credit Portfolios Journal of Fixed Income, (December 2001), Sanjiv R. Das, H. Gifford Fong and Gary Geng
Simply Credit: Useful Things to Know about Correlated Default Risk Merrill Lynch Extra Credit, (November/December 2001), Sanjiv R. Das, H. Gifford Fong, Laurence Freed, Gary Geng and Nikunj Kapadia.
Multidimensional Risk Derivatives Strategy (October 1996), H.Gifford Fong, President of Gifford Fong Associates, explains how risk managers must draw upon three critical risk measurement tools in order to build a realistic, multidimensional view of the risks lurking in their portfolios.
Asset Allocation in a Taxable Environment: The Case of Nuclear Decommissioning Trusts Financial Analysis Journal (November/December 1993), James P. Meehan, Daihyun Yoo and H. Gifford Fong
Fixed-Income Volatility Management The Journal of Portfolio Management (Summer 1991), H. Gifford Fong and Oldrich Vasicek, This article describes a new term structure theory where stochastic factors are both the short rate and the instantaneous variance. The exposure of security prices to each of the factors is determined, resulting in identification of duration and the volatility exposure as the dual measures of risk and return. This article reviews some of the implications of this theory and discusses its potential applications.
Why Bond Management Will Never be the Same Investing (Summer, 1989), H. Gifford Fong, Contained within this article is an overview of the changes which have occurred in fixed income portfolio strategy over the last 20 years. This article traces the emergence of various quantitative tools which have helped shape the world of modern fixed income portfolio management. A review of the main functional areas of fixed income management reveals a range of return and risk potential. Over time, popular strategy has shifted in recognition of the difficulty of valid and reliable interest rate forecasts. Recent developments in option valuation technology enable one to have a more active strategy without forecasting interest rates.