Bonds
Shadow interest
Using a Vasicek process for the shadow rate, Viatcheslav Gorovoi and Vadim Linetsky develop an analytical solution for pricing zero-coupon bonds using eigenfunction expansions, and show how to calibrate their model to the Japanese bond market. This…
Open Platform - Prepare for Even More Scrutiny
As the Attorney General, the SEC and other regulators join forces to oversee the bond market, we may need to police ourselves.
Portfolio allocation to corporate bonds with correlated defaults
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility ofcorrelated defaults. Under fairly general assumptions for the distribution of thetotal net assets of a set…
BondsInAsia may add Singapore, Hong Kong futures to electronic trading
Web-based electronic trading platform BondsInAsia is hoping to add Singapore and Hong Kong futures to its product range in the medium-term, according to the platform’s chief executive, Albert Cobetto.
Basel II could reinforce economic cycles more than expected, says BIS study
BASEL – The Basel II bank capital accord could reinforce economic cycles to a greater extent than expected, according to a working paper issued today by the Bank for International Settlements (BIS), the so-called central bankers’ central bank.
Basel bonds Canada
The largest Canadian banks have banded together to share default data, making it much more likely they will all qualify for the most advantageous regulatory capital approach under the Basel II capital Accord.
Margining the spread
Liquidity risk