An important research area of the corporate yield spread literature seeks to measure the proportion of the spread that … to explain the proportion of yield spreads caused by the risk of default in the context of a reduced form model. For this … estimated with credit default swaps are higher, in many cases doubling those found with corporate yield spreads …

volatility by applying Linear Realization Theory. Two realization algorithms, Standard Observable Canonical Realization and …

We examine return premia associated with the level, slope, and curvature of the yield curve over time and across …, when applied to bonds, provide a rich description of bond return premia: subsuming pricing information from the yield curve …'s first three principal components, as well as priced factors unspanned by yield information, such as macroeconomic growth …

of modified yield duration. …

We use no arbitrage models with macro variables to study the interaction between the macroeconomy and the yield curve …

The yield to maturity (YTM) or internal rate of return (IRR) is a metric used in financial analysis to estimate the … coupon payments can be reinvested at a rate equal to the yield to maturity, (ii) that the bond is held to maturity. We show …