insurances for two crops in three districts each. We then estimate the parameters of rainfall bond and rainfall call option with …

This paper analyzes the effectiveness of hedging a defaultable bond, that may not be at par, with a credit default swap … framework uses bond recovery and time to default, which are correlated, to calculate the variance of the hedging errors and the … optimal hedge ratio for the bond-CDS trade. The results show that there are irreducible risks when hedging a defaultable bond …

This paper investigates predictions of structural credit risk models for interest rate sensitivities of corporate bond … corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … corporate bond returns, we need to incorporate a more realistic DTSM in the existing structural models. Lastly, we find that …

emerging market Brady bond futures contracts. This is intriguing because at a time when interest in hedging and speculating in … counter CDS contract acted as a substitute product for the Brady bond futures contract thereby undermining the Brady bond …