Documentos De trabajo Dynamic Dispersed Information and the credit spread Puzzle

Dynamic Pricing of Credit Derivatives under Market Uncertainty: A Default-Risk Adjustment Model

The static pricing model of credit default swaps (CDS) may not reflect the actual changes in the market due to capital flows and geopolitical conflicts at present, and thus will have a large valuation error. This paper extends a simplified reduced-form model by adding a Knightian uncertainty index to a jump-diffusion m...

BIS Working Papers

Asymmetric correlation in S&P500 relationship with stock’s characteristics

Abstract This research investigates the dynamics of asymmetric conditional correlation between individual equities and the broader market of S&P500 during periods of financial distress. Utilizing a bivariate ARMA(1,1)-aDCC-GARCH econometric framework over a comprehensive 4,000-day sample, we extract standardized innova...

Temi di Discussione

Behind the Benchmark: Dissecting Active Bond Fund Performance

This article analyzes the performance of US active fixed-income mutual funds and exchange-traded funds across four major categories: aggregate, government, corporate, and high yield. Using more than two decades of return data, we assess whether managers consistently outperform their stated benchmarks and identify the d...

Bankruptcy, manipulation of financial reporting data, and differences in corporate bond yields

Subject. The impact of propensity to bankruptcy and manipulation of accounting data on differences in excess yields of corporate bond portfolios. Objectives. Statistical analysis of the explanatory power of bankruptcy risk factors and the risk of manipulation of financial reporting data in relation to differences in bo...