This paper investigates the impact of Contingent Convertible (CoCo bonds) on systemic risk. Based on the network and … CoCo bonds could enhance the risk resilience of issuing banks to a certain degree, but the default of issuing banks will …

Due to bond prices pull-to-par, zero-coupon bond historical returns are not stationary, as they tend to zero as time to … maturity approaches. Given that the historical simulation method for computing value at risk (VaR) requires a stationary …

This study finds that downside tail risk , estimated from Korean corporate bond market data, predicts the excess … predicting corporate bond returns. The return predictability of abnormal risk becomes more pronounced in the economic expansion … returns of publicly listed investment-grade bonds. In addition to (normal) value at risk, estimated assuming a normal return …

, hybrids and credit derivatives), portfolio theory and management, and risk assessment and hedging of individual positions as … Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets … Options on Interest Rates -- 18 Elements of Stochastic Calculus -- 19 *The Mathematical Framework of Financial Markets Theory …

The purpose of this publication is to quantify and compare the market risk on the external government debt of … particular, the authors invest the market risk of sovereign bonds issued on global financial markets. Market risk is assessed … both as a single issue and at a portfolio level using the Value-at-risk approach. Sixteen samples with historical …