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Lorig, Matthew; Zou, Bin - In: Quantitative finance 21 (2021) 7, pp. 1223-1233

Persistent link: https://www.econbiz.de/10012588039

Fiordelisi, Franco; Palego, Carlo; Richetto, Annalisa; … - In: Risk management magazine 17 (2022) 3, pp. 8-24

We analyze what are the main pricing components for performing loans. By exploiting a survey conducted by the authors … in AIFIRM (2021), we provide empirical evidence about whether and to what extent various pricing criteria are related to … risk-adjusted profitability measures in the pricing, while it is negatively linked to higher market competition, a …

Persistent link: https://www.econbiz.de/10013501174

Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods

Ma, Zonggang; Ma, Chaoqun; Wu, Zhijian - In: Review of derivatives research 25 (2022) 1, pp. 47-91

Persistent link: https://www.econbiz.de/10013191382

Designing GDP-linked bonds with default

Leventides, John; Melas, Evangelos; Poulios, Costas; … - In: Applied economics quarterly 67 (2021) 4, pp. 311-335

Persistent link: https://www.econbiz.de/10014228939

Interest rate swaps

Wei, Bin; Yue, Vivian Z. - In: Research handbook of financial markets, (pp. 407-428). 2023

Persistent link: https://www.econbiz.de/10014331087

Impact of mortgage soft information in loan pricing on default prediction using machine learning

Luong, Thi Mai; Scheule, Harald; Wanzare, Nitya - In: International review of finance : the official journal … 23 (2023) 1, pp. 158-186

Persistent link: https://www.econbiz.de/10014251350

Impact of soft information in loan pricing on default prediction using machine learning

Luong, Thi Mai; Scheule, Harald; Wanzare, Nitya - 2023

Persistent link: https://www.econbiz.de/10014470089

A noisy principal component analysis for forward rate curves

Laurini, Márcio Poletti; Ohashi, Alberto - In: European journal of operational research : EJOR 246 (2015) 1, pp. 140-153

Persistent link: https://www.econbiz.de/10011341688

Pricing and hedging of inflation-indexed bonds in an affine framework

Eksi, Zehra; Filipović, Damir - 2013

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the …

Persistent link: https://www.econbiz.de/10010257509

The Term Structure of Illiquidity Premia

Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - Universität <Köln> / Wirtschafts- und …; … - 2009

This paper investigates the dynamics of the term structure of bond market illiquidity premia. We analyze the comovement of short-, medium-, and long-termilliquidity premia and identify economic factors determining them. Our resultsshow that the term structure of illiquidity premia is U-shaped on...

Persistent link: https://www.econbiz.de/10008911533