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Article
Publication date: 1 April 2003

LEO M. TILMAN, RAYMOND WONG and MISAHIRO YAMAGUCHI

While interpreting violent market movements can potentially be illuminating, many experienced finance practitioners shy away from this exercise, having recognized the difficulty…

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Abstract

While interpreting violent market movements can potentially be illuminating, many experienced finance practitioners shy away from this exercise, having recognized the difficulty of this task. At the same time, the majority of them appears to have accepted the premise that supply‐and‐demand dislocations have emerged as increasingly influential forces driving fixed income markets. In both business‐as‐usual and catastrophic market environments, their impact on interest rates, credit spreads, and implied as well as realized volatilities rivals that of geopolitical events, economic fundamentals, and credit crises.

Details

The Journal of Risk Finance, vol. 5 no. 1
Type: Research Article
ISSN: 1526-5943

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