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 …

results, one may expect successful introduction of government bond futures in China and Brazil even as such contracts continue … market, private benchmarks long ago displaced government benchmarks. In the bond markets, evidence from organised exchanges … government bond futures to private interest rate swaps. The global financial crisis seems only to have interrupted this process …

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

use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual inflation …-linked bond returns on a recent sample and find that surveys of professional forecasters and moving average models perform best …. We confirm these findings for a sample of 19 international inflation-linked bond markets. Using surveys of professional …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …