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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

address this residual risk, we examine the concepts of bond tilt and bond agility. We provide explicit calculations and derive …

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

Best-estimates in bond markets with reinvestment risk

MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276

The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

Persistent link: https://www.econbiz.de/10011300314

Analysis of yields and their determinants in the European corporate green bond market

Grishunin, Sergei; Bukreeva, Alesya; Suloeva, Svetlana; … - In: Risks : open access journal 11 (2023) 1, pp. 1-19

The green bond market helps to mobilize financial sources toward sustainable investments. Green bonds are similar to … paper is underpinned by the mixed evidence on the existence of 'greenium', especially in corporate green bond markets; there … has been limited research on the topic and a narrow focus on global, US, or Chinese green bond markets. Instead, the …

Persistent link: https://www.econbiz.de/10014233051

On the diversification of fixed income assets

Le Courtois, Olivier - In: Risks : open access journal 10 (2022) 2, pp. 1-21

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...

Persistent link: https://www.econbiz.de/10012806470

The regime-switching structural default risk model

Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33

We develop the regime-switching default risk (RSDR) model as a generalization of Merton's default risk (MDR) model. The RSDR model supports an expanded range of asset probability density functions. First, we show using simulation that the RSDR model incorporates sudden changes in asset values...

Persistent link: https://www.econbiz.de/10014497430

The volatility of the "green" option-adjusted spread : evidence before and during the pandemic period

Ortolano, Alessandra; Nissi, Eugenia - In: Risks : open access journal 10 (2022) 3, pp. 1-13

of our knowledge this is the first study that analyzes the specific credit risk component of the green bond yields: we …

Persistent link: https://www.econbiz.de/10013093081

A study on global investors’ criteria for investment in the local currency bond markets using AHP methods : the case of the Republic of Korea

Jang, Jae Young; Park, Min Jae - In: Risks : open access journal 7 (2019) 4/101, pp. 1-20

geographical risks. Our findings not only contribute to enhancing investors' understanding of the Korean bond market by discussing …

Persistent link: https://www.econbiz.de/10012128028

Assessing the market risk on the government debt of Kazakhstan and Bulgaria in conditions of turbulence

Em, Olga; Georgiev, Georgi; Radukanov, Sergey; Petrova, … - In: Risks : open access journal 10 (2022) 5, pp. 1-18

. The duration method was used in the calculation of Delta normal bond VaR and CVaR. It was found that with the same credit …–two indicators measuring linearly the sensitivity of bond prices to changes in market interest rates (Weighted average Macaulay … variants (SR Undiversified VaR, SR Diversified VaR, and SR Diversified CVaR). When evaluating the bond portfolio VaR and CVaR …

Persistent link: https://www.econbiz.de/10013359115

Trading binary options using expected profit and loss metrics

Venter, Johannes Hendrik; Jongh, Pieter Juriaan de - In: Risks : open access journal 10 (2022) 11, pp. 1-21

Trading in binary options is discussed using an approach based on expected profit (EP) and expected loss (EL) as metrics of reward and risk of trades. These metrics are reviewed and the role of the EL/EP ratio as an indicator of quality of trades, taking risk tolerance into account, is...

Persistent link: https://www.econbiz.de/10014226063

Assessing the impact of credit risk on equity options via information contents and compound options

Maglione, Federico; Mancino, Maria Elvira - In: Risks : open access journal 11 (2023) 10, pp. 1-25

This work aims to develop a measure of how much credit risk is priced into equity options. Such a measure appears particularly appealing when applied to a portfolio of equity options, as it allows for the factoring in of firm-specific default dynamics, thus producing a comparable statistic...

Persistent link: https://www.econbiz.de/10014393159