In this paper we prove that the price of a defaultable bond, under a Vasicek short rate dynamic coupled with a Cox … intensity of the bond issuer. Employing conditioning and a change of num\'eraire technique, we obtain a manageable … representation of the bond price in this non-affine model which allows us to control its derivatives and assess the convergence of …

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … and robust predictor for future bond returns. In addition, due to the higher proportion of abnormal transactions in the …

here to identify a common trend in risk premia in equity, corporate bond and emerging markets since early 1998. The …