correlation between interest rates and credit spreads. The times of default of a credit-risky bond are modelled as the jump times …, the partial differential equation (PDE) for the price of the zero-coupon credit-risky bond is derived. Then this PDE is … credit-risky bond mispricing under different parameter assumptions …

We document a higher bond return volatility around the time of default for bonds included in CDS auctions (especially … cheapest-to-deliver bonds) versus those that are not, while controlling for firm fundamentals and bond illiquidity. This … CDS buyers and sellers manipulating bond prices to achieve favorable CDS auction outcomes, rather than a spillover of …

This paper develops a decentralized theory that determines the fair value of the yield-to-maturity of a bond or bond …

Whereas the callable-bond market used to emphasize primarily public debt - Government Agencies, and both investment …. S. bond market, and to relate those implied volatilities to measures of time to call, time from call to maturity …

,217, recovered cases increase by 6,468, and the recovery rate increases by 6.9% following the issuance of a corporate pandemic bond …

unexpected persistence of the dislocation between bond and derivative credit markets. We show that the first two moments of the …We reinvestigate the CDS-bond basis negativity puzzle after the financial crisis. This puzzle is defined as the … cross-sectional variation of the CDS-bond basis in each regime. Using a model with several limit-to-arbitrage factors, we …