In this paper, we study the consistency of bonds and CDS quotes data within a widely accepted credit risk pricing framework, allowing for non-trivial term structures of risk-free interest rates and default intensities. We propose an approach to test this consistency and a procedure to deal with...

In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS spreads. The proposed approach is essentially an infinite-dimensional modification of the Heath-Jarrow-Morton framework and is general enough to capture even very non-trivial...

The traditional approach to bond portfolio immunization usually assumes that the possible future changes of the term structure of interest rates lie within a suitable parametric class of functions. The quantities of interest are the sensitivities of the portfolio value with respect to these...

Empirically testing a bond portfolio hedging model is usually carried out when proposing a new model or to compare several existing models using real data. However, there are many methodological choices to be made during such exercise, which are usually made either implicitly or without...