In this paper we examine the effect of default correlation on the price, duration and convexity of a bond portfolio. We … use Clayton copula and t copula to characterize the default dependence structure. Our main result shows that, under these … two types of default dependence structure, while the marginal distribution of time to default is an important determinant …

liquidity channel, we compare the differences in default contagion and clearing payment between financial systems with and … CoCo bonds could enhance the risk resilience of issuing banks to a certain degree, but the default of issuing banks will …