Similar Search Results

The Heath-Jarrow-Morton model with regime shifts and jumps priced

Elliott, Robert J.; Siu, Tak Kuen - In: New methods in fixed income modeling : fixed income modeling, (pp. 45-59). 2018

Persistent link: https://www.econbiz.de/10012011578

Pricing bond options under a Markovian regime-switching Hull-White model

Shen, Yang; Siu, Tak Kuen - In: Economic modelling 30 (2013), pp. 933-940

Persistent link: https://www.econbiz.de/10009710001

Longevity bond pricing under stochastic interest rate and mortality with regime-switching

Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 114-123

Persistent link: https://www.econbiz.de/10009718990

The response of bond prices to insurer ratings changes

Miao, Hong; Ramchander, Sanjay; Wang, Tianyang - In: The Geneva papers on risk and insurance - issues and … 39 (2014) 2, pp. 389-413

Persistent link: https://www.econbiz.de/10010354082

Risk-shifting, equity risk, and the distress puzzle

Li, Keming; Lockwood, Jimmy; Miao, Hong - In: The journal of corporate finance : contracting, … 44 (2017), pp. 275-288

Persistent link: https://www.econbiz.de/10011752997

The Response of Bond Prices to Insurer Ratings Changes

Miao, Hong - 2015

This paper examines the impact of insurer ratings changes on bond prices. Using insurer ratings from four major rating agencies and data covering the recent financial crisis period, we document that downgrades have a strong negative price impact on bond prices, especially when the downgrades are...

Persistent link: https://www.econbiz.de/10013024197