This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...

VaR_Delta-Normal fails in two counts: subadditivity and potentially producing losses larger than its portfolio value. This paper solves the second inconsistency developing formulas derived from a put option, named PVaR_Delta-Normal and Put_Expected_Shortfall, PSF_Delta-Normal; the latter also...

This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...

Recent discussions on the volatility of agricultural prices have been drawing on factors as low short term elasticities of supply and demand, climatic risk, market uncertainty, central banks monetary policies, trade barriers, biofuel development and, finally, speculation. Much debate has aroused...

The purpose of this paper is to introduce the R package BondValuation for analysis of large datasets of fixed coupon bonds. The conceptual heterogeneity of fixed coupon bonds traded in the global markets imposes a high degree of complexity on their comparative analysis. Contrary to baseline...

Political uncertainty drives markets. Among macroeconomic forces, it is one of the fewfactors that systematically affect most assets - hence it qualifies as a state variable in the senseof the ICAPM and should carry a risk premium. We employ static and conditional factormodels using data in...

I apply a new single-pass CAPM methodology for assessing systematic risk to all ASX stocks which indicates that securities which pay franking credits in Australia appear to face far less systematic risk than do stocks that never pay franking credits. But in this context, this apparent reduction...

The multitude of day count conventions and the prevalence of irregular coupon periods constitute a major complication for the comparative analysis of interest accruing securities across markets. I develop the first generalized pricing methodology for straight bonds that allows for irregular...

In global financial centers, short-term market rates are effectively determined in the pledged collateral market, where banks and other financial institutions exchange collateral (such as bonds and equities) for money. Furthermore, the use of long-dated securities as collateral for short...

VaR_Delta-Normal is derived from a Put option, named PVaR_Delta-Normal and Expected_Shortfall, PSF_Delta-Normal – the latter a coherent measure – guaranteeing VaR can never be larger than the fund value. Current standard VaR_Delta-Normal uses covariances calculated from the entire...