dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it allows to disentangle … and compare the liquidity premium earned by the protection buyer and the protection seller. In contrast to other studies …, our model is structurally much simpler, while it also allows for correlation between liquidity and default premia, as …

. Overwhelmingly, empirical studies emphasize that HFT improves the quality of financial markets in terms of increased liquidity …, liquidity and market capitalization on the Bulgarian capital market following the global financial crisis, concluding that the …

CAT bonds are important instruments for the insurance of catastrophe risk. Due to a low degree of deal standardization …, there is uncertainty about the determination of the CAT bond premium. In addition, it is not apparent how CAT bonds react … Katrina an increased risk perception for hurricanes can be observed. -- CAT bonds ; financial crisis ; catastrophe events …

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

The aim of the present research is to provide a new CoCo bond pricing method to assist analyses of both equity … for CoCo bonds including the callability feature. We revise closed form solution of Spiegeleer and Schoutens (2011) such …

2011. These Islamic debt instruments share some features similar to conventional bonds, so market operators treat both as … bonds. Whether it is appropriate to treat ṣukūk certificates as conventional bonds is empirically tested in this paper. If … the yields of ṣukūk are the same as those of conventional bonds, Granger causality tests could confirm their equivalence …