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Term Structures of Inflation Expectations and Real Interest Rates:The Effects of Unconventional Monetary Policy
Term Structures Inflation Expectations Real Interest Rates Unconventional Monetary Policy
2015/9/18
Ináation expectations have recently received increased interest because of the uncertainty created by the Federal Reserveís unprecedented reaction to the Great Recession.The effect of this reaction on...
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term struc-ture is summarized and shown to be equivalent to a particular ty...
Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis
Estimating Credit Term Structures Consistent CDS-Bond Basis
2010/11/3
In the third part of this series we introduce consistent relative value measures for CDS-Bond
basis trades using the bond-implied CDS term structure derived from fitted survival rate
curves. We expl...
Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
Estimating Term Structures Consistent Risk Measures
2010/11/3
In the second part of our series we suggest new definitions of credit bond duration and
convexity that remain consistent across all levels of credit quality including deeply distressed bonds and intr...
Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
Defining, Estimating Consistent Valuation Measures
2010/11/3
In this three-part series of papers, we argue that the conventional spread measures are not
well defined for credit-risky bonds and introduce a set of credit term structures which correct
for the bi...