Japanese yen bond markets. The reference returns result from a regime-switching Nelson-Siegel yield curve model following …

European and Emerging Market equity funds and out of bond funds …

subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the … play a key role in explaining bond spreads. Interestingly, after the introduction of the new bail-in framework, there is a … convergence between the bond yields of the GSIBs and the non-GSIBs, which could point out to a reduction in the market perception …

-end equity and bond funds. First, we employ a Bayesian technique to project the impact of macro-financial scenarios on country … management (AUM) of 24% and 5%, for euro area-domiciled equity and bond funds respectively, largely driven by valuation effects …, we estimate that 5.8% and 0.5% of euro area-domiciled equity and bond funds respectively could go into liquidation. Such …

Japanese yen bond markets. The reference returns result from a regime-switching Nelson-Siegel yield curve model following …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … variation of corporate bond returns than global factors. The factor exposures show intuitive patterns: as ratings worsen, equity … betas show a hockey stick pattern, sovereign betas decline monotonically and corporate bond betas increase steeply …