bond price than the par value of the bond. This paper provides a framework distinct from the risk neutral framework by …This paper analyzes the effectiveness of hedging a defaultable bond, that may not be at par, with a credit default swap … framework uses bond recovery and time to default, which are correlated, to calculate the variance of the hedging errors and the …

schemes, which is consistent with quoted market bond prices. Traditionally, there have been differences in how instruments … with similar cash flow structures have been priced if their definition falls under that of a financial derivative versus if …, we provide some practical proxies, such as first-order approximations or basing calculations of CVA and DVA on bond …

interpret a corporate bond price as a random variable. In this case the spot price does not a complete characteristic of the … price. The price should be specified by the spot price as well as its value of market risk. This interpretation is similar … to a random variable in Probability Theory where an estimate of the random variable completely defined by its cumulative …

and inflation risk premium. A literature investigating the efficiency of the inflation derivative markets and a comparison … methodology for valuation and risk management of these securities is an application of the foreign currency extension of a …