Technical paper/Bonds

Covid-19 and the credit cycle

The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record long benign credit cycle to a stressed one, with still uncertain dimensions. This paper seeks to assess the credit climate…

The fair basis

Wujiang Lou remodels credit arbitrage by introducing funding and capital costs

When did the JGB market become efficient?

Focusing on the deviation from the fair-yield curve, Koichi Miyazaki and Satoshi Nomura discuss the transition in efficiency observed in the Japanese government bond market and find out that the turning point was in 1996, when the Japanese repo market…

When did the JGB market become efficient?

Focusing on the deviation from the fair-yield curve, Koichi Miyazaki and Satoshi Nomura discuss the transition in efficiency observed in the Japanese government bond market and find out that the turning point was in 1996, when the Japanese repo market…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: