All Questions
10
questions
0
votes
0
answers
39
views
Are there closed formulas for non-callable defaultable floating rates in a reduced form models?
currently, I am evaluating for my company the possibility to price defaultable bonds with stochastic default intensity. Precisely, I am considering using the G2++ model where one factor is the ...
- 1
1
vote
0
answers
34
views
Why do some TIPS bonds have credit spread < 0 [duplicate]
If we look at the yield spreads on Bloomberg of some TIPS bonds, we see they have credit spread < 0 (i.e. their yield is even lower than their benchmark treasury bonds)
Why is that the case. ...
- 147
0
votes
1
answer
1k
views
Does credit default swaps have interest rate duration and credit duration?
Will a CDS have interest rate duration and credit duration?
It does seem likely that the value of the CDS would depend on the underlying interest rate, or the spread. But when I try to Google this I ...
- 125
0
votes
0
answers
456
views
A list of the 01's in the corporate bonds
I have frequently heard terms like DV01, CV01, PV01. Where can I get a list of these glossaries to study? I am not looking for a detailed explanation, just really a list.. Once I have the list, I can ...
- 775
0
votes
1
answer
91
views
Liquid products/indexes to hedge/price a corporate bonds portfolio
Generally, for a corporate bonds portfolio, what are the common risk factors that's hedge-able through some liquid products?
I know we can hedge the rate-risk through treasuries. We have some ETFs for ...
- 775
3
votes
3
answers
904
views
Bond prices and probability of default
We learn in Finance 101 that the price of a bond is the present value of future cash flows. There is no mention of default risk. Still, bond prices move each day, without a change in the payment ...
- 555
1
vote
0
answers
131
views
Extracting Risk Neutral Default Probabilities using Option Adjusted Bond Prices
I am currently in a project trying to quantify default risk premia for US Corporate Bonds. The data I have consists of bond prices, and other information (i.e. YTM, OAS, Effective Duration, Maturity ...
- 11
4
votes
3
answers
5k
views
Default Probability Implied in Bond Prices?
Say I am trying to find the probability of default on JP Morgan implied by the price of their fixed income assets. Can this be done? Are there any pitfalls to this approach? I have heard of this ...
- 1,074
7
votes
7
answers
1k
views
Investment Grade Bond vs Junk Bond, whose duration is larger?
Just wondering how to calculate duration when take credit risk into consideration.
I think if duration is calculated as weighted average of cashflow time, and weights are calculated using present ...
- 171
3
votes
1
answer
5k
views
Cost of Carry Bear Flattener
I was reading a report last week that
“the carry on a 2s5s gilt curve flattener is negative to the tune of
10bp over 6 months”
and I realised I have little understanding of this concept and how ...
- 131