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An empirical analysis of bond recovery rates : exploring a stuctural view of default
Covitz, Daniel M.; Han, Song - 2005
Persistent link: https://www.econbiz.de/10002634054
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The impact of credit risk mispricing on mortgage lending during the subprime boom
Kahn, James A.; Kay, Benjamin S. - 2019
We provide new evidence that credit supply shifts contributed to the U.S. subprime mortgage boom and bust. We collect original data on both government and private mortgage insurance premiums from 1999-2016, and document that prior to 2008, premiums did not vary across loans with widely different...
Persistent link: https://www.econbiz.de/10012181334
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Pricing the strategic value of poison put bonds
David, Alexander - 1998
Persistent link: https://www.econbiz.de/10000658928
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Banks as patient fixed income investors
Hanson, Samuel G.; Shleifer, Andrei; Stein, Jeremy C.; … - 2014
Persistent link: https://www.econbiz.de/10010433519
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Bond risk premia and realized jump volatility
Wright, Jonathan H.; Zhou, Hao - 2007
Persistent link: https://www.econbiz.de/10003827125
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Implied interest rate skew, term premiums, and the ʺconundrumʺ
Durham, J. Benson - 2007
Persistent link: https://www.econbiz.de/10003828299
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Does realized volatility help bond yield density prediction?
Shin, Minchul; Zhong, Molin - 2015 - This version: September 19, 2015
We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor models with stochastic volatility. The resulting...
Persistent link: https://www.econbiz.de/10011499535
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Nominal rigidities and the term structures of equity and bond returns
Lopez, Pier; López-Salido, José David; … - 2015
Persistent link: https://www.econbiz.de/10011409516
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Does trading frequency affect subordinated debt spreads?
Bianchi, Christopher (contributor);  … - 2005
"Because illiquid bonds may be relatively poorly priced, the ability to infer investor perceptions of changes in a … banking organization's financial health from such bonds may be obscured. To examine the time-series effect of trading … frequency on subordinated debt spreads, we consider the liquidity of subordinated debt for large, complex U.S. banking …
Persistent link: https://www.econbiz.de/10002564706
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Does trading frequency affect subordinated debt spreads?
Bianchi, Christopher; Hancock, Diana; Kawano, Laura - 2005
Persistent link: https://www.econbiz.de/10002582076