Redenomination of currency has become a common phenomenon in recent past among emerging and transitional economies. In 2007, Ghana became one of the economies to redenominate in recent past. This currency policy adaptation has the potential of triggering certain individual behavioral biases on...

Redenomination of currency has become a common phenomenon in recent past among emerging and transitional economies. In 2007, Ghana became one of the economies to redenominate in recent past. This currency policy adaptation has the potential of triggering certain individual behavioral biases on...

This paper examines the relationship between credit spreads on industrial bonds and the underlying Treasury term-structure. Unlike previous studies, we use zero-coupon spot rates, which eliminate coupon bias, and so allow for a consistent study both within and across the different credit...

We examine the determinants of the at issue time to maturity of corporate bonds. We find evidence that corporations partly determine the at issue maturity of bonds by responding to economic conditions. They also appear to immunize by matching the maturity of assets with the at issue maturity of...

We examine the pricing of Asian and non-Asian credit default swaps that traded during the 1997 to 1999 time period. We employ two credit risk models, Duffie and Singleton (1999) and Jarrow and Turnbull (1995). We argue that credit default swaps should have a positive economic value since credit...

By examining the distribution of state prices obtained from binomial versions of Jarrow and Turnbull (1995), Lando (1998) and Duffie and Singleton (1999), we are able to suggest which credit risk parameters are of critical interest. We find that it appears worthwhile to parameterize credit risk...

MTS Time Series: Market and Data Description for the European Bond and Repo Database Alfonso Dufour and Frank Skinner MTS Time Series is a new source of high frequency and daily data for European fixed income markets. For the first time academic researchers and market practitioners have...