This paper studies the predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … both statistically and from the perspective of a mean-variance investor that trades in the bond market …

the issuing firm's beta risk significantly, which is consistent with capital structure theory. These new findings on the …

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 … performance of forecast combinations. Consistent with models featuring unspanned macro factors, our forecasts of future bond …

Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross … coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to … the bond market index. Three-moment bond alphas (which account for coskewness effects) are time varying and predictable by …

structure can be estimated for a given bond and CDS quotes set. We apply the proposed approach to euro zone sovereign bond and … CDS data, and demonstrate that, in general, bond/CDS quotes are typically inconsistent across issuers and require …

market price of a CoCo bond in a Black-Scholes setting. The numerical results in this paper show how different contingent …

zero coupon bond prices: bootstrapping, a piecewise constant forward rates method, a cubic spline model, and the Nelson and … Siegel smoothing model. Next, based on the estimated real and nominal curves, several methodologies to hedge bond portfolios …

We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long … bond betas …

A system is implemented that simulates a bond portfolio over the long-term of liabilities. It pays all liabilities and … of return potential and risk drivers on the bond allocation, on assumptions and on market conditions in order to improve … €10billion insurer portfolio. Current market conditions favor short bond duration, reducing government bonds and mixing in …