mortality models to analyse its payoff and discuss the key risk factors for the bond. We also investigate how the design of the …A key contribution to the development of the traded market for longevity risk was the issuance of the Kortis bond, the … world's first longevity trend bond, by Swiss Re in 2010. We analyse the design of the Kortis bond, develop suitable …

rates for Switzerland. Combining both UIRP and EHTS in a model that allows for nonlinearities, we investigate whether the … Swiss advantage is disappearing with respect to Europe. Our results favour threshold cointegration and show that both … hypotheses hold, at least in one of the three regimes of the process for Switzerland/Germany. The same is not true between …

This study examines the pricing of municipal bonds before and after a currency shock in Switzerland. Two approaches are … used to decompose the municipal to treasuries bond spreads into liquidity, maturity, and default risk premiums. The first … breaks in bond distortions. This study finds that the currency price distortions of the Swiss franc in January 2015 made long …