Narrow search
Showing 1 - 10 of 10
Cover Image
Chinese write-down bonds and bank capital structure
Li, Ping; Meng, Hui; Yu, Feihui - In: Quantitative finance 18 (2018) 9, pp. 1543-1558
Persistent link: https://www.econbiz.de/10011913202
Cover Image
Risk Factor Analysis of Industrial Bonds Based on Multifactor Model : Evidence From China
Li, Jiahong; Li, Ping - 2023
In this paper, we identify cross-sectional anomalies in excess returns of industrial bonds at the issuer and secondary market levels, and find that liquidity, risk, and historical return variables can generate cross-sectional excess returns that cannot be explained by traditional bond factors....
Persistent link: https://www.econbiz.de/10014350974
Cover Image
The Impact of CoCo Bonds on Systemic Risk Considering Liquidity Risk
Li, Ping - 2020
liquidity channel, we compare the differences in default contagion and clearing payment between financial systems with and … CoCo bonds could enhance the risk resilience of issuing banks to a certain degree, but the default of issuing banks will …
Persistent link: https://www.econbiz.de/10012841225
Cover Image
Do Green Bonds Add Value in Multi-Asset Portfolios : Evidence from China
Han, Yingwei - 2020
The green bond market has been growing rapidly worldwide in recent years. This paper investigates the role of green bonds in asset allocation considering Chinese financial markets. We use CoVaR to examine the risk spillovers between green bonds and stock-bond markets, finding that green bonds...
Persistent link: https://www.econbiz.de/10012829568
Cover Image
An empirical analysis of the impact of credit risk mitigation warrants on bonds : evidence in Chinese markets
Li, Ping; Meng, Hui; Li, Zengpeng - In: Emerging markets, finance and trade : EMFT 55 (2019) 13, pp. 2970-2981
Persistent link: https://www.econbiz.de/10012211057
Cover Image
Dynamic correlations and spillover effects between CoCo bonds and other financial assets : evidence from European banking
Li, Fangfang; Li, Ping - In: Finance research letters 38 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012487925
Cover Image
Empirical Studies on China's Write-Down Bonds
Li, Ping; Lin, Shan - 2021
The world economy continues to develop, prosperity and crisis coexist. The global financial crisis and the European debt crisis brought unstable factors to the world economy, and the security of global financial system was challenged. To cope with the crisis in the future, worldwide financial...
Persistent link: https://www.econbiz.de/10014117964
Cover Image
Default Correlation and Bond Portfolio Management
Li, Ping - 2010
In this paper we examine the effect of default correlation on the price, duration and convexity of a bond portfolio. We … use Clayton copula and t copula to characterize the default dependence structure. Our main result shows that, under these … two types of default dependence structure, while the marginal distribution of time to default is an important determinant …
Persistent link: https://www.econbiz.de/10013139159
Cover Image
The impact of CoCo bonds on systemic risk considering liquidity risk
Li, Ping; Guo, Yanhong; Meng, Hui - In: Quantitative finance 22 (2022) 2, pp. 385-406
Persistent link: https://www.econbiz.de/10013167761
Cover Image
Does Green Bond Improve Portfolio Diversification? Evidence From China
Han, Yingwei; Li, Ping; Wu, Sanmang - 2022
Green bonds are a type of fixed-income instrument that is specifically used to raise funds for projects with environmental benefits to mitigate and adapt to climate change. China's green bond market expanded rapidly in recent years due to national push for net-zero emissions and the growing...
Persistent link: https://www.econbiz.de/10013298656