to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …

We propose a new measure of the expected variance risk premium that is based on a forecast of the conditional variance … that drives the variance risk premium …

with Issuer Risk.We provide analytic pricing for Triggered Refreshed CDOs with or without Issuer Risk, i.e. covered bonds ….g. cities, Lander, public sector entities), and its covered bond prices. We provide example results for a variety of scenarios … showing the interplay between covenants, issuer risk, and liquidity …

bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling …

The green bond market has grown strongly in recent years, especially in the euro area. With regard to the European … rapidly evolving green bond market. In addition, the effect of ECB bond purchases on yields under the corporate sector … purchase program (CSPP) and the pandemic emergency purchase program (PEPP) is examined. The analysis shows that ECB bond …

the recent developments and challenges in the bond and debt markets. First, we study the pricing of green bonds at …