financial industry. The remaining drivers of bond yields in the European corporate debt market are the credit quality (expressed … by the level of credit rating), the coupon size, the bond tenor, the market liquidity, and macroeconomic variables …The green bond market helps to mobilize financial sources toward sustainable investments. Green bonds are similar to …

the parametric CAT bond are derived. Multi-regional and multi-hazard parametric CAT bonds are introduced to reduce the …

investigate the investment strategies in a market, comprising a longevity-indexed bond and a risk-free asset, under stochastic …

the amount recovered in the event of default. We then price zero-coupon bonds and credit default swaps under the … correlated risk drivers leads to a decoupling of the default and recovery risk premiums in the credit spread. We conclude this …

other in gauging the credit quality of defaultable bonds in a portfolio. We also discuss the model calibration and provide …

catastrophic bonds triggered by multiple events with an extreme dependence structure. Due to the bond's low cashflow contingencies … and the CAT bond's high return, the multiple-event CAT bond may successfully transfer the catastrophe risk to the huge … mechanism helps reduce the moral hazard and increase the bond's attractiveness with a lower trigger likelihood, displaying the …

introduce the stochastic logistic growth model-based pandemic bond pricing framework. We demonstrate the proposed model with two … numerical examples. First, we calculate what investor is willing to pay for the World Bank issued pandemic bond while accounting … COVID-19 data. In the second example, we calculate the fair value of a pandemic bond with characteristics similar to the …

the critical number of lines of fixed income assets on the main interest rate risk and credit risk drivers. Specifically … the coefficient of variation for the computation of the critical number of credit-sensitive securities in a fixed income …