摘要翻译：
在我们系列文章的第二部分，我们提出了信用债券久期和凸度的新定义，这些定义在所有信用质量级别都保持一致，包括深度不良债券，并引入了与基于生存的估值框架一致的额外风险度量。然后我们展示了如何使用这些风险度量来构建市场中性投资组合。
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英文标题：
《Defining, Estimating and Using Credit Term Structures. Part 2:
  Consistent Risk Measures》
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作者：
Arthur M. Berd, Roy Mashal, Peili Wang
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  In the second part of our series we suggest new definitions of credit bond duration and convexity that remain consistent across all levels of credit quality including deeply distressed bonds and introduce additional risk measures that are consistent with the survival-based valuation framework. We then show how to use these risk measures for the construction of market neutral portfolios.
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PDF链接：
https://arxiv.org/pdf/0912.4614