The purpose of this paper is to build a CoCo model with a minimal number of stochastic factors that includes all relevant sources of risk. The value of a CoCo stems from future coupon payments, the redemption of the principal in case the CoCo does not convert and a possible conversion into...

Contingent convertible bonds are typical hybrid products in that they are exposed to different types of risk: interest rate risk, equity risk and conversion risk. We first develop a general framework for their pricing and hedging that can be specified in different ways. Then we focus on...

We extend the analysis of systematic investment approaches to emerging market (EM) fixed income. We focus on hard currency bonds issued by emerging sovereign and quasi-sovereign entities. We find that systematic exposures linked to carry, defensive, momentum and valuation themes are well...

It is well-documented that government bonds with almost identical cash flows can trade at different prices. This paper analyzes the cross-section of bond spreads across developed European countries and documents a novel result. In periods of widening credit spreads, bond spreads between new and...

It is well-documented that government bonds with almost identical cash flows can trade at different prices. The explanation is that due to higher liquidity the most recently issued bond tends to trade at a premium to previously issued bonds. This paper analyzes the cross-section of bond spreads...

We obtain ex ante estimates of risk premia for G10 currency pairs using cross-sectional data on exchange rate options. Option prices are well-matched by a non-Gaussian, two-factor model, consistent with evidence from realized currency returns. We find that option-implied currency risk premia...

It is well-documented that government bonds with almost identical cash flows can trade at different prices. The explanation is that due to higher liquidity the most recently issued bond tends to trade at a premium to previously issued bonds. This paper analyzes the cross-section of bond spreads...