How does uncertainty affect the costs of raising finance in the bond market and via bank loans? Empirically, this paper … finds that heightened uncertainty is accompanied by an increase in corporate bond yields and a decrease in bank lending … the value of the lending relationship and lowers the lending rate. Bond investors demand compensation for the increased …

-domain properties of the decomposition to compute time-varying betas and analyse the determinants of risk across time …

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … risk-adjusted portfolio returns after accounting for estimation error and model uncertainty, as evidenced by the …

theory to model rare longevity events. Our method is a new approach in longevity risk securitization, which has the advantage … demonstrate that the risk cubic model developed for pricing catastrophe bonds can be applied to mortality and longevity bond …The purpose of this study is to analyze securitization of longevity risk with an emphasis on longevity risk modeling …

and foreign interest rates, and a hedging cost for the currency risk to derive a semi-closed-form formula for the CAT bond … showing the following: in addition to catastrophic risk, the CAT bond price is affected mainly by the volatility of the …In this paper, we present a new model that takes an arbitrage approach to the valuation of catastrophic risk bonds (CAT …

extension risk. Under the new regulatory Basel III framework, CoCo bonds can be categorised as either belonging to the … as additional Tier 1 and their step-up feature reduced the probability that the bank skipped the call and kept the bond … extension risk into a valuation method for CoCo bonds …

Undertaking, have been adopted and widely used to act as quasi-guarantees in support of the bond issuance. This article first …

This paper studies the impact of ambiguous information regarding future interest rates on bond prices. A simple bond …-pricing model with ambiguity aversion shows that positive bond uncertainty premiums exist, and the interest rate ambiguity affects … the term structure of interest rates and yield volatilities. Consistent with the theory, empirical measures of interest …

We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long … bond betas …