Search Results - subject:"Term structure"

Examining the transmission of credit and liquidity risks : a network analysis for EMU sovereign debt markets

Fernandez-Perez, Adrian; Gómez Puig, Marta; … - 2025

Persistent link: https://www.econbiz.de/10015374489

Interest rate sensitivity of callable bonds and higher-order approximations

Dow, Scott S.; Orfanos, Stefanos C. - In: Risks : open access journal 13 (2025) 4, pp. 1-24

Certain fixed-income securities, such as callable bonds and mortgage-backed securities subject to prepayment, typically exhibit negative convexity at low yields and cannot be adequately immunized through duration and convexity-matching alone. To address this residual risk, we examine the...

Persistent link: https://www.econbiz.de/10015408396

Transfer learning across fixed-income product classes

Camenzind, Nicolas; Filipović, Damir - 2025

Persistent link: https://www.econbiz.de/10015405459

Sovereign debt cost and economic complexity

Gómez González, José Eduardo; Uribe, Jorge; … - In: Journal of international financial markets, … 99 (2025), pp. 1-24

Persistent link: https://www.econbiz.de/10015405719

High-dimensional parameter calibration of interest rate model for the Korean insurance capital standard

Baik, Seung Min; Choi, Changhui; Jang, Bong-Gyu - In: Journal of derivatives and quantitative studies : … 33 (2025) 1, pp. 23-44

We propose a method for calibrating high-dimensional parameters in the Hull-White one-factor model using market prices of swaptions, aimed at generating mark-to-market interest rate scenarios in the Korean insurance industry. Our approach integrates a trust region-based Bayesian optimization...

Persistent link: https://www.econbiz.de/10015397306

The impact of SOE defaults on municipal corporate bond spreads in China

Zhang, Zhilin - In: Finance research letters 75 (2025), pp. 1-9

Persistent link: https://www.econbiz.de/10015407208

Spillovers between sovereign bonds and the banking sector : evidence from Italy

Cafiso, Gianluca; Rivolta, Giulia - 2025

This study examines the relationship between sovereign spreads and banks in terms of risk transmission, using the seven largest Italian banks as a sample over the period from 2003 to 2023. Our objective is to quantify and compare volatility spillovers, and to investigate whether bank-specific...

Persistent link: https://www.econbiz.de/10015372003

Revisiting the interest rate effects of federal debt

Plante, Michael; Richter, Alexander W.; Zubairy, Sarah - 2025

Persistent link: https://www.econbiz.de/10015406606

Mortgage-backed securities

Fuster, Andreas; Lucca, David O.; Vickery, James - 2025

Persistent link: https://www.econbiz.de/10015407026

Measuring and explaining the CDS-bond basis term-structure shape and dynamics

Khanna, Yonas; Lucas, André; Seeger, Norman - 2025 - This version: May 26, 2025

-level basis term-structures across all maturities. Our approach can accommodate different term-structure interpolation methods … the 2011-2021 JP Morgan (JPM) basis term-structure and use it to analyze its empirical determinants. We find that factors … like market liquidity, funding liquidity, counterparty risk, and the default premium all impact the basis term-structure …

Persistent link: https://www.econbiz.de/10015408438