To date there is no satisfactory way to measure and control interest rate risk for bonds subject to high levels of credit risk. In addressing this gap, this work develops the survival measure, a new measure of interest rate sensitivity for corporate bonds. The survival measure leads to the...

We examine the relation between credit spreads on industrial bonds and the underlying Treasury term structure. We use zero-coupon spot rates to eliminate the coupon bias and allow for a consistent study both within and across the different credit ratings. Our results indicate that the level and...

We study the dynamics of specialness for 1-day repo contracts on Italian Government bonds over a 10-year sample period. Our results show that collateral supply is a significant factor for specialness, along with repo liquidity, information uncertainty and short-selling proxies that reveal the...

We describe some recent contingent capital securities (CoCos) and explore the issues that confront their development. We take the view that bank CoCos should be designed to maintain confidence in a bank before a crisis begins because once a crisis commences it is difficult to see how a bank can...