. The results are applied to bond forward contracts and total return swaps with early termination at underlying default …

interest-rate sensitive, derivative pricing models. Our overview of conceptual approaches highlights the tradeoffs that have …

This paper provides new evidence on the dynamic dependences of European corporate credit spread in three markets: Bond … primarily driven by innovations. The intra-market dependence during the current crisis decreases for bond and ASP innovations … but increases for CDS due to the increase of counterparty risk. ASP and bond innovations are closely related suggesting …

This paper analyzes the effectiveness of hedging a defaultable bond, that may not be at par, with a credit default swap … framework uses bond recovery and time to default, which are correlated, to calculate the variance of the hedging errors and the … optimal hedge ratio for the bond-CDS trade. The results show that there are irreducible risks when hedging a defaultable bond …

default probabilities. -- Credit default ; credit derivative ; default dependence ; structural form models ; threshold model …

This paper investigates predictions of structural credit risk models for interest rate sensitivities of corporate bond … corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … corporate bond returns, we need to incorporate a more realistic DTSM in the existing structural models. Lastly, we find that …