We discuss the current funding practice of banks, looking at the typical capital structure of banks, examining where CoCos will likely fit within this structure and giving examples of recently issued CoCos. We explore the key design choices of bank CoCos analysing the potential problems that...

This paper finds that while covered interest rate parity holds for large and small triple A rated economies, it holds for emerging markets only for a three-month maturity. For a five-year horizon the size and frequency of violations lead to the conclusion that covered interest rate parity does...

We examine term structure theories by using a novel approach. We form bond investment strategies based on different theories of the term structure in order to determine which strategy performs best. When using a manipulation-proof performance measure, we find that consistent with prior...

We explain the variation in the degree of specialness for bonds used as collateral in the Italian Government BTP repo market. Some of our results are similar to the findings in the US repo market even though the underlying Italian BTP bond market is structurally different than the US Treasury...

We examine the determinants of the new issue maturity of corporate bonds. As credit rating decreases, new bond issues have longer maturities but substantial variation in maturity within each rating class remains. We seek to explain the variation of new issue maturity within credit classes. We...

To date there is no satisfactory way to measure and control interest rate risk for bonds subject to high levels of credit risk. In addressing this gap, this work develops the survival measure, a new measure of interest rate sensitivity for corporate bonds. An acid test of a sensitivity measure...

We study the dynamics of specialness for 1-day repo contracts on Italian Government bonds over a 10-year sample period. Our results show that collateral supply is a significant factor for specialness, along with repo liquidity, information uncertainty and short-selling proxies that reveal the...

To date there is no satisfactory way to measure and control interest rate risk for bonds subject to high levels of credit risk. In addressing this gap, this work develops the survival measure, a new measure of interest rate sensitivity for corporate bonds. The survival measure leads to the...

This paper examines the relation between stock returns and unexpected changes in nominal and real interest rates and inflation for the US stock market. With the exception of Sweeney and Warga (1986), we are the first to examine this relation in detail by breaking the results down from the US...