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

This study sets out a new methodology to exemplify, through a set of risk metrics called the Greeks, impact of a bond … the Greeks. The methodology is used to assess the impact of the call and put provisions on the bond’s credit risk and …’s structured provisions (e.g., call, put, and conversion options) on its risk characteristics and its propensity for agency …

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 …

We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the … standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not … significantly and positively future monthly Treasury bond excess returns. This forecastability remains significant controlling for …

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 …

This study recalibrates corporate bond idiosyncratic risks in an international context. Applying a statistically … powerful risk decomposition scheme, we show in this study that diversification is improved by the addition of a global risk … addition to global liquidity and default risk factors, we also include country-specific default risk component, and all of them …

(because the bond will be a form of a collateralized debt obligation), and hence a natural issuer, with low credit risk. Since … this bond) and also how governments can ensure that they have sufficient funds to bear this risk. It concludes with the … create and issue longevity bonds that attempt to hedge overall economy-wide mortality risk to improve insurance companies …

inflation volatility. Using an approximate solution to bond prices, we show that the ZLB model successfully captures interest … volatile shadow risk premia, and small and volatile lift-off probabilities …

This paper discusses the theory that risk factors divide to the company specific and asset specific risk factors. The … for a specific asset. I find that equity market, value, and quality factors are indeed possible company specific risk … factors with influence on an expected equity of a company and dividend and volatility factors are possible stock specific risk …