Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross … coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to … the bond market index. Three-moment bond alphas (which account for coskewness effects) are time varying and predictable by …

zero coupon bond prices: bootstrapping, a piecewise constant forward rates method, a cubic spline model, and the Nelson and … Siegel smoothing model. Next, based on the estimated real and nominal curves, several methodologies to hedge bond portfolios …

A system is implemented that simulates a bond portfolio over the long-term of liabilities. It pays all liabilities and … of return potential and risk drivers on the bond allocation, on assumptions and on market conditions in order to improve … €10billion insurer portfolio. Current market conditions favor short bond duration, reducing government bonds and mixing in …

is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be … higher during the financial crisis in 2008. Increased bond correlation results from higher correlation between corporate bond … risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond …

Empirically testing a bond portfolio hedging model is usually carried out when proposing a new model or to compare …

-return relations of government bond portfolios. Motivated by this finding, we derive a global stochastic discount factor, which prices … excess returns of individual bond markets and international bond portfolio strategies. The SDF is supported by standard … validation tests, but the fraction of unpriced components of bond returns is high, at around 50%. Hedging internationally …

We provide robust empirical evidence that uncovers the reason for the observed closer relationship between the bond … market versus the equity market and the macroeconomy. Our results indicate that the tight bond market-macroeconomy link is …

. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known …, being long the first bond while shorting the second (of higher convexity) would result in a market-directional bet for …