It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis. Motivated by this evidence, this study attempts to investigate the extent to which CDS markets across regions, maturities and credit ratings have integrated more in crisis. By...

In this paper we develop robust and model-free upper bounds for American put option prices. Our bounds have all of those appealing features of the upper bounds for European options provided in DeMarzo et al. (2016) but cover much more popular derivatives in practice. Numerical results...

This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...