Paper proposes a framework for precise daily default risk prediction of Chinese credit bonds.
problem Inadequate and inaccurate bond information disclosure creates risk of default for investors.
method Framework includes summarizing factors impacting defaults, constructing a risk index system, and using ConvLSTM neural network for prediction.
result The model provides more responsive and accurate daily default risk predictions than authoritative ratings.
Study finds implicit government guarantee improves municipal investment bond ratings.
problem Questioning the objectivity of municipal investment bond ratings due to implicit government guarantee.
method Text mining of policy documents and PMC index model for implicit guarantee strength calculation.
result Implicit government guarantee boosts municipal investment bond ratings, especially in less developed regions.
This paper measures the intensity of implicit government guarantees using PMC index model.
problem Excessive local government debt due to implicit government guarantees.
method Text mining of policy documents related to municipal investment bonds, PMC index model.
result Recent policies have reduced the intensity of implicit government guarantees.
Model shows government incentives boost green bond investment.
problem Increasing green investments through government incentives.
method Optimal incentives indexed on bond prices and covariation, applied to a portfolio of bonds.
result Method outperforms current tax-incentives systems in green investments.
Study uses VIX for zero-coupon Treasury rates, proving long-term stability and returns.
problem Modeling zero-coupon Treasury rates with VIX for volatility.
method Multivariate autoregressive stochastic volatility model, proving stability and Law of Large Numbers.
result VIX accurately models zero-coupon Treasury rates and returns.
Study forecasts U.S. bond index using deep learning, finding persistence is key.
problem Forecasting U.S. aggregate bond index with deep learning methods.
method Constructed a stationary but maximally persistent representation of the bond index, evaluated using MLPs and CNNs.
result Deep learning models outperform traditional methods in short-horizon forecasting of bond indices.
Unified framework matches equity and bond yields.
problem Inconsistency in pricing zero-coupon bonds and equity markets.
method Unified term structure of interest rates framework using put-call parity.
result Option-implied yield curves closely match treasury par yield curves.
The study uses machine learning to predict CAT bond coupons based on climate data.
problem Predicting CAT bond coupons using climate data.
method Combining climate indicators with machine learning models (random forest, gradient boosting, etc.).
result Extremely randomized trees achieved the lowest RMSE in predicting CAT bond coupons.
In this paper, we are concerned with the valuation of Catastrophic Mortality Bonds and, in particular, we examine the case of the Swiss Re Mortality Bond 2003 as a primary example of this class of assets. This bond was the first Catastrophic Mortality Bond to be launched in the market and encapsulates the behaviour of …
Study predicts bond yields using machine learning and ultimate forward rates.
problem Forecasting bond yields using ultimate forward rates.
method Applied de Kort-Vellekooptype methodology for UFR estimation, used linear and nonlinear machine learning techniques.
result Nonlinear machine learning models outperform linear models in bond yield forecasting.
Within the context of the banking-related literature on contingent convertible bonds, we comprehensively formalise the design and features of a relatively new type of insurance-linked security, called a contingent convertible catastrophe bond (CocoCat). We begin with a discussion of its design and compare its relative …
The paper predicts financial markets using news text and semantic network analysis.
problem Predicting financial markets with news data.
method Semantic network analysis of news text to assess economic keywords' importance.
result The index captures financial market phases and predicts returns and volatilities.
The VIX is used to model corporate bond volatility and returns.
problem Modeling volatility and returns for corporate bonds using observable data.
method Applied stochastic volatility models using the VIX index to corporate bond rates and spreads.
result Residuals of corporate bond returns divided by VIX are closer to Gaussian white noise.
The study improves stock market valuation using volatility and earnings data.
problem Improving stock market valuation metrics.
method Time series model for asset returns, multivariate kernel density estimation, linear regression.
result The valuation measure is an improvement over Shiller's P/E ratio.
Developing a climate-aware pricing framework for XL reinsurance and CAT bonds under non-stationary catastrophe risk.
problem Pricing excess-of-loss (XL) reinsurance and catastrophe (CAT) bonds under climate uncertainty.
method Modeling catastrophe arrivals as a Cox process with a temperature-dependent stochastic intensity and aggregate losses following a compound Cox structure.
result Climate dependence materially changes the loss-generation mechanism and affects the valuation of catastrophe-linked contracts.
The paper analyzes a five-factor capital market model and facilitates exact simulation.
problem Analyzing and simulating a five-factor capital market model.
method Using a Vasicek interest rate model, mean-reverting excess return, and realized inflation with expectation, the paper derives the necessary distributional results and describes practical methods to overcome rank deficiency.
result Exact simulation from the model can be achieved by sampling from a seven-dimensional normal distribution.
This paper improves bond market making by adjusting hit-ratios for client flow quality.
problem Economic misleading of raw hit-ratios in corporate bond market making.
method Stochastic-control framework with residual-quality-adjusted hit-ratio.
result Optimal quotes decompose into various components, improving service/economics frontier.
The study shows how trade uncertainty affects stock-bond correlations over time.
problem Impact of trade policy uncertainty on stock-bond correlations.
method Daily data analysis using GARCH-based models (CCC, STCC, DCC) with TPU and political dummy variables.
result Time-varying correlation models better capture the dynamics of stock-bond correlations than constant models.
Paper proposes a new daily benchmark for post-GFC government bond CIP deviations.
problem Lack of a canonical daily benchmark for CIP deviations.
method Used G10 plus KRW currency-tenor panels to analyze three lagged public state variables.
result Three lagged public state variables deliver strong performance in daily regressions.
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anti-correlated; (ii) the change in…
Modeling longevity bonds with a Vasicek model for better risk management.
problem Managing future uncertainty related to population longevity.
method Developed a state-space Vasicek model for zero-coupon longevity bonds.
result Unobserved instantaneous interest rate shows mean reverting behavior.
Maximizes probability of completing investment schedules with optimal portfolio weights.
problem Optimizing probability of completing investment schedules with optimal portfolio weights.
method Computing maximum probability and optimal portfolio weight functions for various rebalancing schedules.
result Noticeable improvements in probability to complete schedules with optimal portfolio weights.
Study optimizes pension scheme risk-sharing for longevity bonds.
problem Managing longevity basis risk in pension schemes with income-drawdown guarantees.
method Stochastic optimal control, dynamic programming, HJB equations.
result Sharing longevity risk increases both manager and member utilities.
We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk associated to portfolios of futures in a non-stationary context. We apply and extend a previously reported method called the P…
This study analyzes factors affecting China's stock market volatility.
problem Investigating factors influencing China's stock market volatility.
method Used ARDL model and principal component analysis on daily data from 2010-2024.
result Exchange rate and bond yields significantly impact stock market volatility.
Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday UK futures. Volatility …
This paper identifies and analyzes biases in risk-adjusted index weighting methods, affecting social welfare and market fairness.
problem Biases in risk-adjusted index weighting methods lead to tracking errors and fraud in indices and ETFs.
method Characterizes and analyzes the biases and adverse effects of risk-adjusted index weighting methods.
result These biases reduce social welfare and can enable harmful arbitrage activities.
Paper models demand and solvency for index insurance, combining traditional and measurable index-based coverage.
problem Reducing protection gaps for emerging risks.
method Develops a model for demand and solvency conditions, combining traditional and index-based insurance.
result Deduces a product that benefits from both traditional and index-based insurance approaches.
A new model uses a Levy-driven process to value credit index swaptions.
problem Valuation of credit index swaptions in financial markets.
method Proposes a Levy-driven Ornstein-Uhlenbeck process to model risk-free rate and default intensities.
result Derives formulas for characteristic function, moments, and stationary distribution.
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stoc…
Shorting IG ETFs can hedge bond portfolios during market drawdowns effectively.
problem Managing downside risk in bond portfolios during market crises.
method Constructing three signals (Momentum, Liquidity, Credit) to dynamically hedge short IG positions.
result Dynamic hedge removes when predicted hedged return mean reverts, achieving higher returns and Sortino ratios.
Study of bonded knots and braids with new algebraic models.
problem Classifying and understanding physical or chemical bonds in knots and braids.
method Developed new algebraic models (bonded knots, braids, braidoids) and invariants.
result New algebraic structures and invariants for bonded knots and braids.
Developed algebraic theory of bonded braids, proving Markov theorem.
problem Studied bonded knots and their algebraic properties.
method Introduced bonded braid monoid, proved Alexander and Markov theorems.
result Every bonded knot is the closure of a bonded braid, and equivalent knots have related braid representatives.
The paper shows real market exists free lunches with vanishing risks.
problem The hypothesis of no free lunches with vanishing risk in real markets.
method Accurately hedged extreme-maturity zero-coupon bond.
result FLVRs naturally exist in the real market.
Study finds it hard to establish common factor pricing in corporate bonds.
problem Difficulty in establishing common factor pricing in corporate bonds.
method Portfolio- and bond-level analyses using multifactor models.
result Common factor pricing in corporate bonds is not significantly explanatory.
In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has serious drawbacks. Key words: Convertible bonds, Binomial tree, Tsiveriotis-Fernandes model, Convertible bond pricing, Convertible bond Gree…
Simple model uses time series momentum to outperform benchmarks in equity and bond markets.
problem Finding systematic excess returns in various markets.
method Time series momentum applied to multiple investable indices without complex parameter estimation.
result Significant outperformance in equity and bond markets, nearly doubling returns.
This thesis renovates classic models for pricing inflation derivatives.
problem Improving models for pricing inflation derivatives.
method Analysis and renovation of classic interest rate models.
result Renewed HJM framework for inflation derivatives pricing.
Machine learning models show intermarket data can predict stock market performance better than expected.
problem Evaluating the semi-strong form of the Efficient Market Hypothesis.
method Used machine learning techniques on various intermarket data sets to predict stock market performance.
result Intermarket data significantly outperforms baselines in predicting stock market movement, contradicting the semi-strong EMH.
Model proteins with bonds using Kauffman bracket skein module.
problem Modeling proteins with bonds for structural analysis.
method Extend Kauffman bracket polynomial to bonded knots.
result Infinite generation and torsion-freeness of the bonded skein module.
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determine sensitivity of bonds prices on interest rate changes. The main goal of this study is to determine how standard valuat…
This paper describes a new method of bond portfolio optimization based on stochastic string models of correlation structure in bond returns. The paper shows how to approximate correlation function of bond returns, compute the optimal portfolio allocation using Wiener-Hopf factorization, and check whether a collection o…
Classifies uncolored bonded knots with up to 7 singularity points.
problem Classifying uncolored bonded knots with up to 7 singularity points.
method Generation of planar graphs, conversion into bonded knot diagrams, use of Yamada polynomial, and brute-force Reidemeister moves.
result Systematic classification of uncolored bonded knots with singularity number at most seven.
We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond Sharpe ratios, and implies that the long bond is far from growth optimality. In…
Paper analyzes pricing model for bonds with early redemption.
problem Analyzing pricing of bonds with early redemption features.
method Structural approach for mathematical modeling of bond prices.
result Existence and uniqueness of default and early redemption boundaries proved.
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government bonds and investment grade corporate bonds. The underlying risk factors have nat…
A machine learning model improves relative valuation of municipal bonds.
problem Challenges in determining the value or relative value of municipal bonds.
method Proposes a supervised similarity framework using CatBoost algorithm to identify similar bonds based on risk profiles.
result The similarity-based method outperforms rule-based and heuristic-based methods in back-testing.
We propose an option approach for pricing bond illiquidity that is reminiscent of the celebrated work of Longstaff (1995) on the non-marketability of some non-dividend-paying shares in IPOs. This approach describes a quite common situation in the fixed income market: it is rather usual to find issuers that, besides liq…