We consider nine different proxies (issued amount, listed, euro, on-the-run, age, missing
prices, yield volatility, number of contributors and yield dispersion) to measure corporate bond …

We value rating-triggered step-up bonds with three methods:(i) the Jarrow, Lando and
Turnbull [1997, JLT] framework,(ii) a similar framework using historical probabilities and (iii) as …

The liquidity of the euro0denominated corporate bond market is lower than its sovereign
counterpart. Despite the importance of liquidity risk in corporate bond markets, the number of …

Over the last few years, Central and East European economies have become more integrated
with the West European economy. In general, these economies have become more market…

Recently, research has been published in which optimal portfolios of credit risky bonds are
determined that are less risky, while having at least the same expected return, using the …

European telecom companies have issued rating0triggered step0up coupon bonds in order
to compensate bond investors for losses in the event of rating downgrades. Several …

Abstract: In this paper we compare market prices of credit default swaps with model prices.
We show that a simple reduced form model with a constant recovery rate outperforms the …