Papers & Reviews

  • 15 Noviembre 2017
A quantitative analysis of risk premia in the corporate bond market

Keywords: bond excess return, credit default swap, distress risk premium, expected default frequency, jump-at-default risk premium.

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  • 16 Octubre 2017
Green bond finance and certification

Todo lo que necesitas saber sobre los Bonos Verdes.

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  • 11 Agosto 2017
Investment commonality across insurance companies: Fire sale risk and corporate yield spreads

Keywords: yield spread, fire sales, regulation, credit rating, corporate bonds, insurance companies, capital constraints.

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  • 07 Agosto 2017
Credit ratings of domestic and global agencies: What drives the differences in China and how are they priced?

Keywords: Credit ratings, split ratings, state-owned firms, Chinese bond markets.

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  • 02 Agosto 2017
Financial crises and the dynamic linkages between stock and bond returns

Keywords: Bond prices, Financial crisis, Stock prices, Time–varying GARCH models, Volatility spillovers.

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