Green bonds are a type of fixed-income instrument that is specifically used to raise funds for projects with environmental benefits to mitigate and adapt to climate change. China's green bond market expanded rapidly in recent years due to national push for net-zero emissions and the growing...

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...

This paper investigates the impact of Contingent Convertible (CoCo bonds) on systemic risk. Based on the network and liquidity channel, we compare the differences in default contagion and clearing payment between financial systems with and without CoCo bonds. By analyzing the sensitivity of...

The world economy continues to develop, prosperity and crisis coexist. The global financial crisis and the European debt crisis brought unstable factors to the world economy, and the security of global financial system was challenged. To cope with the crisis in the future, worldwide financial...

In this paper, we identify cross-sectional anomalies in excess returns of industrial bonds at the issuer and secondary market levels, and find that liquidity, risk, and historical return variables can generate cross-sectional excess returns that cannot be explained by traditional bond factors....