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...

This paper investigates the impact of Contingent Convertible (CoCo) bonds on systemic risk using Eisenberg-Noe's financial network method, where the network is linked by debt relationship. The default contagion and loss amplification due to network linkage measure the systemic risk, from which...