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 green bond market has been growing rapidly worldwide in recent years. This paper investigates the role of green bonds in asset allocation considering Chinese financial markets. We use CoVaR to examine the risk spillovers between green bonds and stock-bond markets, finding that green bonds...

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...

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...

Based on GJR-GARCH-CVaR and Vine copula model, we explore the interdependence of Chinese art with other assets and portfolio performance containing stocks, bonds, forex, and art. The results show that D-vine copulas can better portray the multi-asset asymmetric dependence structure and art can...