Municipal bonds are bonds issued by local and state governments to raise funds for public works with interest payment(s) that are generally exempt from federal taxes, and often from state and local taxes as well

We develop an intensity-based model of municipal yields, making simultaneous use of the CDS premiums of the insurers and both insured and uninsured municipal bond transactions. We estimate the model individually for 61 municipal issuers by exploiting the dramatic decline in credit quality of the...

Valuation-indifferent weighting has gained significant interest as a strategy for creating alternative indexes. The weighting scheme has empirical support for equities, investment-grade, high-yield, and emerging market bonds. Portfolio weights formed based on prices or market capitalizations...