Fixed Income Markets
Trading Liquidity and Funding Liquidity in Fixed Income Markets: Implications of Market Microstructure Invariance
... of fixed income markets because liquidity varies greatly across different fixed income ...across fixed income markets provides a simple way to examine whether the ...
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Liquidity and credit risk in fixed income markets
... Our study is particularly related to the literature on German Pfandbriefe and, in general, to the literature on liquidity and credit risk premia in fixed income markets. Despite the ample size of the ...
151
Mildly Explosive Dynamics in U.S. Fixed Income Markets
... U.S. fixed income markets as the epicenter of the Great Financial Crisis of ...these markets are generally used to construct yield spreads that are widely adopted in theoretical and empirical ...
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Price Formation and Liquidity Provision in Short-Term Fixed Income Markets
... Dealers with private information regarding the mispricing of a security have a number of options that they may employ in order to maximize profits. If the information is likely to be discovered in a short amount of time, ...
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Using Derivatives in the Fixed Income Markets
... xed income managers to simply utilize them as risk management tools to adjust exposure to interest rate, credit, and currency risk rather than a means to take on excessive ...
5
The regulatory and supervisory framework for fixed income markets in Europe
... all fixed income securities within the European Union at the exception of short term paper ...of fixed income ...for fixed income ...
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Pricing and Hedging Volatility Risk in Fixed Income Markets
... Fama and Bliss (1987), Campbell and Shiller (1991), and others have suggested that the shape of the yield curve drives risk premia that investors demand for holding long maturity bonds over short maturity bonds. A number ...
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Four essays on the interaction between credit derivatives and fixed income markets.
... …nancial markets and for the investment strategies makes the study of the possible persistent mispricing in credit derivatives markets a topic of salient ...
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Asia-Pacific fixed income markets: evolving structure, participation and pricing
... Conventional monetary policy, the quintessential tool for plain vanilla cycles, plays an important role in risk-based contractions, mostly by improving the (ex ante) Sharpe ratio of risky assets. However, this channel ...
163
CANADIAN CONVENTIONS IN FIXED INCOME MARKETS
... comprehensive guide to market conventions commonly used in Canada’s fixed income market. It will also serve in identifying some of the important ways in which Canadian conventions differ from those of other ...
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Empirical Studies on Sovereign Fixed Income Markets
... swaption markets (USD, JPY, EUR and ...the fixed income ...of fixed income derivatives on Treasury ...the fixed income market to the release of macroeconomic data and show ...
206
Non-Linear Time Series Modelling with Applications to Equity and Fixed Income Markets
... Another important application of threshold models has been to study the business cycle. For example, Altissimo and Violante (2001) study the joint dynamics of US output and unemployment using a bivariate TVAR model for ...
131
The Case for Unconstrained Fixed Income
... global fixed income markets offer a very diverse set of risk factors that have historically performed differently depending on the economic ...global fixed income market, is equivalent ...
20
Fixed-Income Investing with CBIS
... stable income, low correlation with equities and other risk assets, a hedge on deflation and an offset to weak equity ...positioning fixed-income ...
6
2016 FIXED INCOME OUTLOOK
... Even as we offer a somewhat optimistic view for Asian credits, currencies and local bond markets, we do not want to make light of the global issues. Fragilities remain. The underlying Eurozone and Greek problems ...
6
FIXED INCOME REDEFINED FOR A 2%
... So, rather than relying on a conventional bond solution in this environment, we may want to think about a more enlightened approach to fixed income going forward. In the same way that we’ve been trained to ...
5
Active Fixed Income: A Primer
... Investors who choose active management, on the other hand, are seeking enhanced returns relative to a particular index. While this strategy generally entails greater tracking error and higher management fees, there are ...
24
Global Fixed Income Weekly
... of fixed rate mortgage-backed securities, making them more sensitive to changes in interest ...and fixed rate mortgage-backed securities are subject to prepayment ...
9
Guide to Fixed Income Securities
... of fixed income investments. Fixed income securities are often classified according to the time they have left until ...classifying fixed income securities is based on whether or ...
17
Fixed Income Research and Strategy
... If Italy becomes unable to access the capital markets at reasonable rates, it would likely be forced to borrow from the European Financial Stability Facility (EFSF). The problem with this scenario is the lack of ...
10