Positive macroeconomic and demographic factors, improved local regulation, increased investment inflows from outside ...

When debtholders insure against default but retain control rights, an empty creditor problem follows. The ...

The authors investigate the relationships among default risk, liquidity, bond characteristics, and issuing company ...

Finance theory assumes that yield premiums can be determined by using existing interest rates as factors, but ...

The authors show that the creditworthiness of euro-region countries affects the volatility of those ...

A quantitative easing monetary policy was implemented by the Bank of Japan in March 2001. The authors develop a new method of ...

The authors use Google Trends’ search volume index (SVI) to measure investor attention. They find that the ...

Recent credit ratings downgrades of European sovereigns has caused many fixed income investors to reconsider the use of ...

The Asia Pacific Investment Conference will bring together noted researchers, speakers, writers, investment professionals, ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Using a large sample of countries and 60 years of data, the authors found a strong and intuitive link between demographic ...

After a decade of outperformance, have inflation linked bonds reached a tipping point?

Trading mechanics and the hidden costs of shorting

The 2012 Global Market Sentiment Survey analyzes responses to a November, 2011 survey of over 58,000 CFA Institute members ...

Traditional liquid credit spreads seem to be priced fairly at best, but with more downside than upside depending on investors’ ...

In 2001, a small group of academics and practitioners met to discuss the equity risk premium (ERP). Ten years later, in 2011, a ...

Presented by ICMA Centre at the University of Reading, the International Capital Market Association, and CFA Institute, the ...

Wall Street Journal article on the history of credit-default swaps and the current state of the market. Registration/subscription ...

While treasury inflation-protected securities, or TIPS, protect against CPI-based inflation, investors need to be aware of the ...

The risk, opportunities, and challenges facing the global investment profession are as complex as ever and investment ...

The Economist's tool for calculating future debt levels for the world's major economies based on the difference between real ...

Capturing the changes in the term structure of interest rates is important to capture the market's expected impact and timing of ...

Stephen G. Cecchetti discusses commercial bank leverage, calculating risk weightings, and the long-term effects of excessive ...

The authors examine whether the emergence of Fitch Ratings as a major player in the credit rating industry for corporate debt ...

Using 10 years of mutual fund performance data, the authors test two theories of decision making: group shift theory and ...

Fighting between the U.S. political parties is having a detrimental effect on U.S. businesses. As the ideological debate ...

IMF working paper that discusses the significant decrease in the velocity of collateral post-Lehman Brothers.

The authors find that when insurance companies need to manage their capital reserves to meet regulatory requirements, fire sales ...

The authors investigate the determinants of loss given default (LGD), the magnitude of likely losses to a lender on an exposure, ...

The authors study the history of defaults on domestic public debt and the impact on inflation and external debt defaults. The ...

The authors develop a framework for measuring the illiquidity of corporate bond trading in U.S. fixed-income markets. Their ...

Tina Vandersteel, CFA, offers a model for understanding how economies control the movement of capital into and out of their ...

Daniel J. Fuss, CFA, shares his thoughts on the current economic crisis and global markets.

Paul McCulley, former senior partner at PIMCO, discusses a simple tripartite model for understanding geopolitical events and how ...

Mark R. Kiesel discusses methods for identifying safe spread in the corporate sector. He focuses upon the search for positive ...

Join Riccardo Barbieri of Mizohu Securities and Toby Nangle of Baring Asset Management for a discussion of the sovereign debt ...

An estimate by The Economist of the amount of capital needed by European banks to ensure against a domino-effect collapse.

In today’s world of complex structured securities, valuing these securities can seem a daunting task. However, if one stands ...

Sean J. Egan examines the drives that caused the global economic breakdown and some newly developing credit crisis possibilities. ...

This webinar will discuss the commodities markets and provide a review of the ETFs that cover these markets. Topics to be ...

For the first time since World War II, sovereign debt sustainability is affecting advanced economies rather than emerging markets ...

The sovereign debt market has grown over the past few years, providing an important source of diversification for global ...

Investors struggle to determine the level of credit bond spread components when a change occurs in the bond’s option-adjusted ...

The asset-backed commercial paper (ABCP) market is a key provider of short-term funding in the U.S. economy. Yet, ABCP faces an ...

The authors examine assets that investors can use to protect their traditional portfolios from inflation. They consider each ...

Most unexpected price changes in bonds occur during economic news announcements. Liquidity shocks—measured using bid–ask spreads, ...

The authors study the impact of hedge fund activism on bondholder wealth and discover a significant effect. The arrival of hedge ...

Commercial mortgage-backed securities in the Barclays Capital Aggregate Bond Index rose 13 percent in 2010 despite an ...

The authors review the history of sovereign debt defaults by analyzing adverse sovereign credit events and actual defaults over ...

This report summarizes a symposium held in June 2011, sponsored by the Harvard Law School’s Program on International Financial ...

The investment industry is not equipped to understand the impact of global political instability, says one expert on political ...

International Monetary Fund research report about the possible spillover effects on the global economy from the European ...

David W. Rolley, CFA, reviews the changing opportunity set in fixed income and the evolution of emerging market debt. He ...

Ed Devlin assesses sovereign default and currency risk in developed economies relative to emerging markets. He also examines how ...

Jeffrey E. Gundlach discusses investment challenges in the current U.S. economic climate and how to find value through asset ...

Panelists at this CFA San Francisco event present their outlooks on the fixed income market. Moderated by Renee Kuo   Dean ...

This report reviews the evolution of China's equity, bond, and derivatives markets and how the investor mix is changing. It also ...

The Chinese version of this report reviews the evolution of China's equity, bond, and derivatives markets and how the investor ...

Comprehensive review of the pros and cons of constructing corporate bond indices.

Raghuram Rajan, author of Fault Lines, provides an analysis of long-term U.S. policies that led to the creation of a large ...

What have economists learned from the financial crisis? Gavyn Davies discusses this question, whether governments and central ...

David Blanchflower discusses the social and economic implications of the wage curve and the spreading sovereign debt crisis. He ...

Gerald Ashley and Christopher Charlton evaluate from a behavioral finance perspective the hidden factors that influence currency ...

The authors suggest that regulatory changes, current economic conditions, and existing demand for nonagency residential ...

The authors use a new method to create a more precise breakdown of corporate bond yield spread components than have previous ...

The recent financial crisis revealed the problems associated with banks’ emphasizing credit rating agency decisions in ...

Financial economists treat volatility as a function of investors’ responses to new information. They generally presume that if ...

Despite high spread volatility, investment-grade credit portfolios have generated an average annual spread premium (returns net ...

The author uses market expectations of real GDP, inflation, and future monetary policy, interpreted as the federal funds rate, to ...

Do you understand the real risks in your municipal bond exposure? Is there upside opportunity in the muni market? Has the bad ...

George R. Hoguet, CFA, analyzes whether investors should allocate strategically or tactically to emerging markets and whether ...

William Nemerever, CFA, explains how to translate the question “Why own bonds?” into an effective portfolio and how to turn the ...

This book is a compilation of speeches, lectures, and essays on the financial industry by Vanguard founder John Bogle. He ...

This five-module, practitioner-oriented course focuses on understanding how the yield curve affects portfolio strategies and ...

Robert Arnott describes a daunting capital market environment that will struggle to perform in the face of three challenges: ...

Jeffrey E. Horvitz offers a comparison of tax-deferred accounts, and why the AMT makes municipal bonds unattractive for ...

Emerging debt markets have grown significantly in the last few years. This presentation examines some of the key drivers for ...

Vincent L. Childers, CFA, discusses how inflation impacts investment portfolios and how an explicit hedging strategy might be ...

This course introduces Treasury Inflation Protected Securities, or TIPS, which are designed to protect investors from inflation ...

Credit portfolio managers are concerned not only with the standalone risk of individual loans but also with portfolio risk. This ...

As economies worldwide struggle to recover from the recent financial crisis, emerging markets are positioned to be significant ...

This event study of market efficiency found that prices of Treasury Inflation-Protected Securities (TIPS) adjust to inflation ...

Before rushing to judge high-frequency trading, investors need to understand the empirical evidence.

The financial bubbles and crises that have affected the world’s markets and economies during the past five years have created ...

India has emerged from the 2008 financial crisis barely scathed and with a very bright future. Foreign ...

The authors examine second liens to determine their impact on the performance of first liens and their importance for ...

The authors examine the validity of the two components of Altman’s distressed debt definition: a risk premium of 1,000 ...

The authors study the liquidity in the corporate credit default swap (CDS) market. Using statistical tools and models, ...

To show that bailouts create creditor moral hazard, the authors analyze a rare occurrence in market history. In markets ...

The authors highlight three flaws in the residential mortgage securitization process during 2005–2007: the ...

As an asset class, insurance-linked securities (ILS) performed very well during the 2008–09 financial market crisis. ...

Emerging markets have generated considerable interest among investors and academics. Although their returns ...

This five-module, practitioner-oriented course focuses on understanding how the yield curve affects portfolio strategies and ...

Does proprietary trading still offer a viable career path?

With ratings reform nearing its conclusion, the “Big Three” credit rating agencies — Moody’s, Fitch, and S&P — face ...

The U.S. mortgage market is the largest bond market in the world and was the catalyst for the recent global financial crisis. ...

David Rosenberg reviews current U.S. Federal Reserve policy and comments on the state of the U.S. economy and its outlook for the ...

Matt King examines how excessive debt at the household, corporate, and government levels has led to a lack of response to the ...

The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...

Excess returns to convertible bond strategies represent compensation for exposure to liquidity risk and not for exposure to ...

Will U.S. muni-bond issuers be the “failed state” story of the coming year?

The authors describe the relationship between analytical and empirical duration of corporate bonds. These measures can differ, ...

The authors examine the lead and lag relationships among five rating agencies when a rating change occurs on a sovereign bond ...

The authors research the impact of corporate bond rating downgrades on the equity prices of other corporations in the same ...

The authors show that inefficiencies in the U.S. market for inflation-linked bonds can be exploited by informed traders who ...

Tina Vandersteel, CFA, presents common and unique risks across emerging market external debt, local debt, and equities. She ...

W. Scott Simon presents in this webcast a post-quantitative-easing update on the mortgage market and discusses the future of ...

Kristin J. Ceva, CFA, explores in this webcast emerging market debt dynamics. She discusses country allocation and security ...

Wall Street trading desks, the traditional habitat of the desk analyst, are in a state of flux as the largest firms scramble to ...

The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...

Tom Fahey examines portfolio balance during the boom/bust credit cycle and fixed-income portfolio protection during periods of ...

Sean J. Egan looks at the future of the structured finance and securitization markets in this webcast. He also investigates the ...

Aaron Low, CFA, discusses recent developments and outlook for the A-shares, B-shares, H-shares, REIT, and related markets, as ...

The panelists discuss the state of the market, how new financial regulations and accounting standards will affect the market, and ...

Treasury Inflation-Protected Securities were developed to provide (1) consumers with assets that permit hedging against real ...

Using the criteria of the rating agencies, the authors tested how wide the AAA tranches created from residential mortgages can ...

The underlying cause of the flash crash? A fragmented market structure.

This book covers the cash, structured, and synthetic markets and includes chapters on credit analysis, basic trading, and default ...

The authors study the value of simple bond management strategies that reallocate portfolio holdings on the basis of turning ...

During the recent financial crisis, almost no trading took place among some financial assets, despite dealers posting bid and ask ...

The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...

Jerome Booth describes in this webcast the investment opportunities in emerging markets and why investors should broaden their ...

In this archived webcast from Pensions and Investments, experienced investment professionals lead an interactive discussion of ...

In examining the risk premiums for U.S. and German 10-year government bond yields, the authors found that the decline in bond ...

Can better guidelines, practices, and products prevent liquidity meltdowns?

The editors present analytical models and traditional credit analysis techniques to teach the reader about the modern markets for ...

In this webcast, Niall Ferguson discusses the fragility of the American Empire and global shift in economic power, the myth of ...

Senior Standard and Poor's analysts discuss the large amount of low quality debt that was issued by corporations in the 2004-2007 ...

In this podcast from Standard & Poor's, John Bilardello, managing director of Corporate Ratings, discusses the difficulty ...

CFA Institute hosted a roundtable discussion on 10 June 2010 featuring a panel of experts in municipal finance. The panel ...

In this webcast, Anthony Baruffi, CFA, examines how the financial crisis has changed the municipal market. He addresses how ...

The author refutes the consensus explanation of the cause of the financial crisis of 2007 and provides an alternative view, ...

This book provides an in-depth analysis of the 2007 global mortgage meltdown and the future of the securitization industry. It ...

Because equity analysts and high-yield analysts have different perspectives on valuation, insights from high-yield analysis can ...

In this podcast, the panelists discuss what investors can expect in the new issue and secondary markets, if the viability of ...

In this podcast, Daniel J. Fuss, CFA, John V. Malvey, CFA, William L. Nemerever, CFA, and Marc P. Seidner, CFA, analyze the ...

John Y. Campbell’s presentation analyzes seven major currencies and why only some provide an effective hedge against equity risk, ...

Learn about the current state and future outlook for the fixed income market, the added value of multi-managed fixed income ...

This panel of industry experts discusses the advantages and disadvantages of annuities, including some key takeaways from the ...

The authors focus on the failure of rating agencies to release timely revisions of credit ratings during the financial crisis ...

Before a banking crisis, an increase in lending to households and enterprises often occurs. The authors find that growth in ...

To increase returns but limit the volatility of the market value of portfolios, bond portfolio managers rely on positive carry ...

Financial models are being blamed for their role in the recent financial crisis. In particular, critics say, models failed to ...

FAJ editor Rodney Sullivan, CFA, recently sat down with former Federal Reserve Bank president William Poole for an interview ...

With the right adjustments, could the CMBS market come back bigger than ever?

In this article from TCW, Stephen Kane walks through the risks of floating rate debt: interest rate risk, credit risk, prepayment ...

Standard and Poor's ratings analyst discusses the risk profile of Canadian banks including underwriting quality, profitability, ...

In this article, the author discusses the relative value of TIPs including the calculation of the "Breakeven Inflation ...

In this article, George Athanassakos traces the 25 year bull market in interest rates and highlights the components of rates ...

The Global Interdependence Center (GIC) partnered with the CFA Society of Philadelphia, the Federal Reserve Bank of ...

Karthik Ramanathan offers insight into the U.S. Treasury Department’s actions during the financial crisis and its outlook for the ...

Although small as an asset class, emerging market debt offers interesting and varied return possibilities relative to other ...

Government intervention has stabilized the economy, but policymakers must be careful to draw down their interventions before ...

In this webcast, William L. Nemerever, CFA, discusses the following: Reasons to consider globalizing bond portfolios ...

In this Take 15 session, Paul Travers discusses the bank (leveraged) loan asset class, including its development, risk, and ...

In this Take 15 session, Paul Travers discusses the bank (leveraged) loan asset class, including its development, risk, and ...

In this episode, Randy Appleyard discusses the following: Landscape of non-agency MBS after the financial crisis ...

In this podcast, Martin S. Fridson, CFA, discusses the following: How to measure the default rate correctly to better ...

Recent articles have characterized credit default swaps (CDS) as sources of risk for institutions that use them, potential ...

The authors claim to provide the first empirical analysis of credit contagion that occurs with direct counterparty effects when ...

Before the 1990s, many thought that Japan would become a dominant world economic power. Since then, however, Japan’s economy has ...

The authors point out that prices for mortgage-related real estate investments, although somewhat under the radar, are showing ...

The commercial real estate market is in trouble because property prices are down by 41 percent from their peak in 2007 and a ...

Financial models can be extremely helpful in adding disciplined thinking to the investment decision-making process. A failure to ...

The authors provide evidence that the relationship between monetary policy and bond market returns, as documented in various ...

Government intervention has stabilized the economy, but policymakers must be careful to draw down their interventions before ...

The authors develop a model for pricing tranches of structured finance securities that are backed by pools of default-risky ...

This webcast from Standard & Poor's presents an overview of CDS Markets and analysis and interpretation of credit spreads ...

Ch. 8, Fixed Income Analysis, 2nd edition, Frank J. Fabozzi, CFA. (Wiley, 2007)

Ch. 9, Fixed Income Analysis, 2nd edition, Frank J. Fabozzi, CFA. (Wiley, 2007)

This book is a rigorous introduction to the art and science of investing in securities issued by companies in ...

At this point, three things are clear about structured credit investments. First, they are complex. Second, few investors ...

Financial models can be extremely helpful in adding disciplined thinking to the investment decision-making process. A failure to ...

Although it seems as if the worst has already happened, another crisis is brewing in the commercial real estate market. Values ...

This is a chapter in the Research Foundation book Insights into the Global Financial Crisis.

This is a chapter in the Research Foundation book Insights into the Global Financial Crisis.

This is a chapter in the Research Foundation book Insights into the Global Financial Crisis.

The authors add their ideas to the ongoing discussion about causes of the credit crisis. They also consider reasons that asset ...

The author models mortgages as a portfolio of three assets: a bond to replicate payment, a put option to foreclose, and a call ...

For those considering investing in equities after the recent stock market rally, the author cautions against momentum investing ...

Lack of transparency in securitization transactions contributed significantly to the current global financial crisis. This ...

This article analyzes convertible arbitrage, one of the most successful hedge fund strategies. The aim of the strategy is to ...

The author considers the current U.S. economic crisis from a different perspective from that of other commentators. Recognizing ...

This article discusses portfolio strategies for fixed income managers in the aftermath of the financial crisis.

The global economic crisis in September 2008 was preceded by the crises of 2007: the subprime mortgage crisis, the corporate ...

This article tracks changes in the U.S. mortgage finance markets before and after the financial crisis, highlighting the ...

In this webcast, Martin Wolf gives an overview of the European economy in the global crisis. Download podcast version

In this webcast, Christian Gattiker-Ericsson, CFA, discusses the following: Where we are in the deleveraging process, and ...

The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...

The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...

In this webcast, Van R. Hoisington discusses the following: The Irving Fisher/Milton Friedman conflict Monetary ...

The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...

In this webcast, Curtis Arledge discusses the following: Integrating the economic and policy effects of house prices, ...

The author studies the ability of variables used in structural models to explain the variation in credit default swap (CDS) ...

The authors investigate the effect of securitizing mortgages by analzying the market for jumbo mortgages, ...

The author outlines optimal central banking and monetary arrangements for emerging markets nations. He ...

The authors subdivide the high-yield bond market according to risk, return, and other traits to determine differences in ...

The 2007–08 financial crisis put the U.S. Federal Reserve on center stage in the largest financial meltdown in recent history. ...

Real estate transaction data indicate that the supply of catastrophic risk insurance continues to have a ...

Using European government bond data, the authors dissect the pricing impact of two important fixed-income ...

U.S. budget deficits are again reaching record proportions, and concern has grown over the impact that ...

The credit crisis reflects the collapse of a tower of structured finance products based on subprime mortgage loans. These ...

The authors analyze a convertible bond index and convertible bond funds to determine whether convertible bonds behave more like ...

Sean Egan of Egan-Jones Ratings Company talks about conflicts of interest for credit rating agencies and the ...

Is increased competition the right therapy for ailing CRAs?

A brief summary of CFA Institute Centre for Financial Market Integrity positions on proposed reforms for CRAs.

Approaching the concept of a crisis-robust bond portfolio from a volatility standpoint, the authors define it as one ...

Investor losses related to subprime mortgage securities have exceeded $200 billion and are causing a painful ...

The authors develop a general equilibrium pricing model that helps explain behavior, such as contagion and the flight ...

In this webcast, Max Holmes discusses the following: Can anything be learned from past credit crises to help us navigate ...

In this webcast, Whitney Tilson discusses the following: Causes and consequences of the "great U.S. housing ...

In this podcast, Thomas G. Doe discusses the following: What impact has the credit crisis had on the primary and secondary ...

A graphical and textual catalog of the history of U.S. government bailouts.

The credit crisis reflects the collapse of a tower of structured finance products based on subprime mortgage loans. These ...

During 2008, the U.S. financial system experienced extreme stress and came close to paralysis. The long-term health of the U.S. ...

Highly distressed trading levels, anticipating default, and potential implications for recognizing impairment.

The credit default swap index, the most credit-sensitive security, can provide an early warning of broader future ...

Over the last 15 years, the traditional funding process, with its clear checks and balances, largely disappeared. ...

The world is currently navigating through difficult economic and financial times. But the current crisis is more than ...

At this moment, the outlook in the credit markets globally is certainly bleak. Still, from this correlated decline in ...

Using a five-stage framework not unlike the five stages of grief reaction can help us take stock of the worldwide ...

This white paper presents an introduction to the determinants of inflation and causes, measurement, and effects on different ...

The concept of risk has been central to the theory and practice of finance since Markowitz’s influential work nearly 60 years ...

The U.S. distressed credit cycle began to deteriorate again in the fourth quarter of 2007. The authors contend that ...

In this article, the authors define latent liquidity, a new measure that can be used to characterize the liquidity of ...

The authors study the profitability of two futures strategies designed to exploit a slow adjustment in municipal yields ...

The authors show that recovery assumption and a bond’s price relative to its par, in addition to what is commonly known ...

Could munis provide a haven for investors who made a dash to cash?

In this webcast, Jason Zweig moderates a panel of experts including Theodore R. Aronson, CFA, Abby Joseph Cohen, CFA, Martin S. ...

If the current crisis in the financial markets creates a feeling of déjà vu, it should come as no surprise. It shares ...

The authors search for evidence of skill in the management of bond funds. They ask whether managers with above-average ...

The asset class of distressed debt is composed of bonds, loans, and other claims that are either in default or at ...

The ongoing subprime crisis raises many concerns about the possibility of even more widespread credit shocks. We ...

Data from the prices of tranches of synthetic collateralized debt obligations are used to provide insight into market ...

In this webcast, Alexander Kozhemiakin, CFA, discusses the following: Emerging markets in an uncertain world Changing ...

In this webcast, Sean J. Egan discusses the following: The good, the bad, and the ugly—the story of the ratings agencies ...

In this podcast, James Grant discusses the following: What will be the aftermath of the unprecedented actions of the U.S. ...

In this webcast, Stephen A. Walsh discusses the following: Using a long-term fundamental approach to take advantage of ...

In this podcast, Mohamed A. El-Erian discusses the following: Navigating developments that were once thought to be ...

How should a credit rating be used during the investment research process?

Janet Yellen gives her views on the outlook for the U.S. economy and how it is currently being shaped by the turmoil in ...

A typical leveraged buyout (LBO) has three components. The acquirers (1) borrow a significant portion of a publicly ...

The subprime crisis will have ramifications for years to come. But what caused it? Was it a regulatory failure, or did ...

The authors present results of returns-based style analysis of four high-yield (HY) bond indices and 60 HY bond funds. ...

Contingent claims analysis (CCA) is the application of option-pricing theory to the valuation of assets, the future ...

Many portfolio strategies are “event driven” (i.e., designed to benefit from price movements caused by corporate ...

When investors value a collateralized debt obligation (CDO) backed by impaired assets, understanding the status of the ...

Global calls for reform of credit-rating agencies have been heard.

The ongoing subprime crisis raises many concerns about the possibility of even more widespread credit shocks. We describe a ...

Credit risk modeling encompasses three variables of differing importance. These variables, from most to least important, are ...

Asset-class bubbles present a challenge for investors. The U.S. Federal Reserve Board has responded to the bursting of ...

In this webcast, Michael P. Lustig discusses the following: Assessing security values when credit conditions are unclear ...

In this webcast, Tad Rivelle discusses the following: Innovations in leveraging that have dramatically expanded ...

In this webcast, Kristin J. Ceva, CFA, discusses the following: Have emerging markets decoupled so that contagion is ...

An important measure of risk for bond investors is the variance of bond price. The authors use two models to estimate ...

Bonds may become classified as speculative grade in one of two ways. One is to be downgraded; the other is to be ...

In-country and U.S.-based return and return volatility are examined for U.S., German, Swiss, and U.K. long-term ...

Reinhardt & Rogoff construct a database of financial crises spanning eight centuries and 66 countries and is widely cited in ...

Central bank intervention halted what otherwise could have been a dramatic meltdown in global financial markets in ...

Volatility trades using options and credit default swaps offer attractive trading opportunities for absolute return ...

The authors find that different risk components in the credit spreads may have different relationships with the ...

The authors use a t-copula approach to estimate fixed-income value at risk (VAR). Using data from the French government ...

The risk–return characteristics of combining a fixed-income portfolio with interest-rate-structured products are ...

The author develops a theoretical model that explains the observed persistence of profits in primary and secondary bond ...

Many portfolio strategies are “event driven” (i.e., designed to benefit from price movements caused by corporate events, such as ...

Generic bond indices, such as the capitalization-weighted Lehman Brothers Aggregate Bond Index, are not the best ...

The Take 15 Series is a series of 15- to 20-minute interviews with leading practitioners on timely topics in market and credit ...

The Take 15 Series is a series of 15- to 20-minute interviews with leading practitioners on timely topics in market and credit ...

The Take 15 Series is a series of 15- to 20-minute interviews with leading practitioners on timely topics in market and credit ...

In this article, the authors study the risk and return characteristics of five widely used fixed-income arbitrage strategies. ...

Credit spread slopes of corporate bonds reveal changes in the direction of future short-term credit spreads and thus provide ...

Mortgage loan valuation inclusive of both the credit and interest rate risk is important to all market participants—investment ...

Duration is not a good indicator of interest rate risk for coupon bonds because it explains only a small portion of the ...

The authors examine the correlation of credit default swap spreads and equity prices for companies in a common industry during an ...

This study empirically tested whether pension information derived from accounting disclosures is priced in corporate bond ...

The authors empirically test the standard model of credit–default correlation that assumes that companies’ default intensities ...

The authors study the relationship between corporate bond liquidity and yield spreads by using a large, comprehensive sample of ...

The authors study the behavior of spread changes and recommend a new approach, Duration Times Spread (DTS), to measuring risk in ...

The authors test the expectations hypothesis of the term structure of interest rates using monthly data for U.S. bond yields over ...

Active portfolio managers construct portfolios to provide excess returns within the context of the overall investment policy. The ...

Investors hoping to avoid the adverse consequences of inflation on their portfolios without incurring credit risk have two ...

Will global markets feel the heat from the U.S. subprime conflagration? “This could be a major event,” says one expert.

Default probabilities for individual issuers and for clusters of companies rise and fall with each other depending on the state ...

The authors measure the impact of a set of 16 macroeconomic announcements on conditional U.S. Treasury and corporate bond market ...

Historical default data over the 1970–2005 period are used to model present values (PVs) for synthetic collateralized debt ...

The authors analyze hedging strategies that consider the dynamic link between mortgage-backed securities and Treasury prices by ...

New evidence is reported on the empirical success of structural models in explaining changes in corporate credit risk. A ...

Central banks have injected moral hazard into global markets, which skews investor behavior toward risky ...

The credit cycle is dormant, not dead. The structured credit markets have caused spreads to remain unusually ...

Emerging market debt continues to evolve as an asset class. Rising credit quality among emerging market ...

Quantitative research is a great addition to an investment process. It is complementary to fundamental ...

This collection of articles covers numerous key fixed-income topics, addresses many of the practices currently ...

An investigation into the relationship between credit spreads and both the level and slope of the Treasury yield curve suggests ...

The growth in aggregate mortgage debt outstanding in the United States can be modeled using fixed-income market and house price ...

The author presents a model of the 10-year U.S. Treasury bond rate to test the hypothesis that the inflation risk premium has ...

This fully revised edition covers the fixed-income marketplace, the risks associated with investing in fixed-income securities, ...

The U.S. high-yield bond market has grown dramatically in the past three decades, reaching more than $1 trillion in outstanding ...

The collateralized debt obligation (CDO) market has developed markedly in sophistication and complexity since the emergence of ...

Defense spending, an aging population, a slowing economy, global warming, energy needs, and government ...

New evidence affirming the power of forward spot spreads to forecast spot rate changes for more than one-year horizons seems to ...

Most fixed-income portfolio managers are limited to long-only investment strategies. In this paper, the authors estimate the ...

The author studies the different effects of unanticipated and anticipated changes in the federal funds target rate on interest ...

The authors investigate the returns generated by strategies that aim to profit from mean reversion in the level, slope, and ...

Many portfolio managers are interested in replicating their benchmarks (or a subcomponent) in order to achieve some active ...

In this paper, the stability of interest rate swap spreads is studied in relation to speculative trading. The author believes ...

In the study reported, the CreditGrades model was used to calculate credit default swap spreads and the spreads were compared ...

Within a broad overview of the functions and responsibilities of the investor relations professional, this book focuses on the ...

The U.S. high-yield bond market has grown dramatically in the past three decades, reaching more than $1 ...

Is there more to a structured product than the package it comes in?

This article addresses the following key points: • The combination of a flat yield curve, a widening credit spread, and default ...

Uncovered interest parity (UIP) states that the expected exchange rates between two currencies should be determined by their ...

The authors examine the empirical relationship between aggregate credit bond recovery rates and default rates. They find a ...

The authors analyze the behavior of long-term interest rates during periods of monetary tightening, particularly the recent ...

The author presents evidence for predictability in the Brady bond market by developing a new model to describe the short-term ...

The authors examine the incentive to include a ratings-based trigger in debt covenants both by company type and trigger type, ...

Managing a hedge fund has distinct differences from managing a typical long-only fund, such as being able to ...

The current low-volatility environment challenges fixed-income managers to maximize excess return. One ...

Emerging market debt is a more stable asset class now than it was 10 years ago. Improvements in macroeconomic ...

The collateralized debt obligation (CDO) market has developed markedly in sophistication and complexity since ...

The three drivers in modeling CDOs (collateralized debt obligations) are the probability of default, the recovery rate, and ...

Investors in collateralized debt obligations (CDOs) grapple with several relative-value questions—relative value between two ...

The authors analyze the relationship between the cost of debt financing to a company and the extent to which it has anti-takeover ...

Although long-term earnings flows of companies may not be completely predictable, the authors theorize that expectations ...

This paper discusses and empirically tests the relative merits of three models of credit default risk: two structural models ...

The authors test whether fixed-income investors can enhance returns by riding the yield curve, which involves purchasing ...

U.S. Federal Open Market Committee (FOMC) meetings command a great deal of attention because at these meetings changes occur in ...

The author explores whether recent efforts by the U.S. Federal Reserve Board have helped the market predict the course of Fed ...

Several surveys conducted in the United States reveal that most investors believe rating agencies are too slow in adjusting their ...

This authoritative resource for anybody with financial exposure to a company teetering on the edge of, or already in, ...

In advance of forthcoming regulatory changes, commercial banks have developed sophisticated internal credit ...

Institutional investors are under pressure to enhance returns. And active currency management is an ...

The authors use bond prices and credit default swap premiums to determine the composition of corporate yield spreads. Although ...

An economic crisis in one emerging market country not only produces wider bond spreads for that country but also for many other ...

Previous research has implied that credit default swap (CDS) prices should equal credit spreads. This article tests that ...

This paper investigates the investment behavior of companies in financial distress, focusing on the relationship between the ...

This article examines the predictability of bond returns from systematic dynamic allocation decisions. The evidence reveals that ...

The increase in long-term interest rates that typically follows rising short-term rates during monetary tightening did not occur ...

This article addresses the following key points: Credit risk analysis is an evolving field. Quantitative modeling includes ...

The role and performance of credit-rating agencies are currently under debate. Several surveys conducted in the United States ...

The authors examine one-year excess returns and find that they can be forecast by a linear “tent-shaped” combination of forward ...

The authors test whether bond market liquidity is priced based on nine liquidity proxies—issued amount, listed, age, euro, ...

Estimates of the recovery rate in the event of default are a key element in the pricing, risk analysis, and rating of corporate ...

The yields on the U.S. Treasury bond market offer nominal returns, whereas the yields on the Treasury Inflation-Indexed ...

Using Standard & Poor's and Moody's Investors Service data, the author finds evidence suggesting that sovereign emerging ...

This paper builds an option-based model to analyze the credit spreads for emerging market sovereign securities. The model uses ...

Economic variables only partially explain the credit spread of Baa bonds over Treasuries. Observed spreads show mean reversion ...

The largest sector of the U.S. investment-grade fixed-income market is structured products—mortgage-backed securities and ...

The author examines the impact of accounting information transparency on credit spreads. Results show that companies with ...

Treasury inflation-indexed securities (commonly known as TIPS) have become an important part of fixed-income portfolios. What is ...

Despite the growth of investments by individuals in bond funds, no research has investigated the determinants of these money ...

In this webcast, George C. Chacko discusses: Recognizing liquidity risk as a substantial part of the total risk of ...

The largest sector of the U.S. investment-grade fixed-income market is structured products—mortgage-backed securities and ...

Companies that consistently make detailed, timely, and informative disclosures face lower costs of public equity and debt ...

Some rating agencies recently attacked a long-held assumption that asset-backed securities, commercial mortgage-backed ...

The literature of finance has long regarded bond rating classifications as the standard measure of homogeneity when estimating ...

Users of bond ratings believe that ratings are slow to adjust in response to changes in credit quality. The authors estimate ...

The authors examine the price discovery process for U.S. Treasury securities by studying the impact of net orderflow on changes ...

The authors demonstrate the existence of a great deal of credit quality heterogeneity within a given rating class. They argue ...

This article addresses the following key points: Fiscal and political stability in emerging markets has lowered risk. ...

Financial analysts need accurate estimates of debt, equity, leverage, and EPS. The method proposed here, based on the probability ...

With clients looking for incremental yield, higher returns, and more diversification, core-plus fixed-income managers are being ...

Approached in thoughtful and systematic ways, both domestic high-yield and emerging market debt can add value whether in a ...

In 1997, the U.S. government began issuing TIPS (the common name for Treasury Inflation-Indexed Securities). The floating-rate ...

Traditional explanations of collateralized debt obligations (CDOs) tend to focus on risk partitioning or legal structure. These ...

Three classes of credit models span most of the space of credit-modeling technology: structural (Merton), reduced form, and ...

Although futures, swaps, and options provide effective means for managing most of the main types of fixed-income portfolio risk, ...

Forecasting is a difficult task, especially when investors have incomplete information. Analysts often use ...

Researchers typically evaluate models that predict bond ratings by measuring how well the predicted ratings ...

The author investigates corporate bond default probabilities associated mainly with two structural models. ...

The authors examine the impact of a presidential election in a developing country on the ratings of bonds ...

Understanding the quality of earnings is an essential part of processing and interpreting information. A high-quality earnings ...

This article illustrates how and why Russia wound up defaulting on their bonds in 1998.

World Bank researchers use regression analysis to demonstrate the least and most costly ways to bail out a nation's failing ...

Kyle Bass shares his views on Japan and the Eurozone and describes just how precarious the state of the world is.

Robert Huebscher writes that Reinhart and Rogoff's research about the importance of debt-to-GDP levels of 90 percent is misread ...

We decomposed the market-level P/E into a no-growth component, which depends only on future discount rates, and a growth ...

The authors update the long-term realized equity risk premium for 19 different countries for 1900–2010. For the 19-country World ...

In 2001 a small group of academics and practitioners met to discuss the equity risk premium (ERP). Ten years later, in 2011, a ...

What is considered to be the best source of information about the future equity risk premium has shifted from historical average ...

Since the 1985 publication of the original article on the equity premium puzzle, much research and controversy has surrounded the ...

Several myths about the equity risk premium have existed for quite a while, so the time is ripe to separate myth from fact. Once ...

Bonds have outperformed stocks over the past decade and almost matched the returns of stocks in the past 40 years, but analysis ...

In 2002, Grinold and Kroner proposed a model of the equity risk premium (ERP) that linked equity returns to GDP growth. In this ...

The equity risk premium is a long-run equilibrium concept that estimates the future excess return of the stock market over and ...

Stock markets have suffered through two major bear markets since 2001, and the returns for stocks, bonds, and Treasuries over the ...

Disagreement about long-term predictability of the equity risk premium continued in the 2011 forum. It is admittedly hard to be ...

In the aftermath of the 2008 global financial crisis, there has been an increase in the use of capital controls and ...

Good fundamental analysis can identify the numerous opportunities that currently exist in the global credit ...

This article walks through leveraged or bank loan structures, market conventions, default and return history, and benefits of ...

This article examines traditional definitions and investment strategies of participants in the distressed debt subset of the high ...

This paper examines key drivers of prepayments and how these models performed in unusual circumstances during the past few years. ...

American Enterprise Institute for Public Policy Research: States report that their public-employee pensions are underfunded by a ...

This article helps investors understand the drivers of inflation protected bond performance on an absolute basis and relative to ...

In this white paper, Teri Geske discusses interest rate duration, spread duration and price behavior of floating rate assets in ...

The author walks through the theory and practice of identifying credit default swap trades compared to associated cash market ...

Article discusses how the duration of the TIPs fund you hold can have material impact on the correlation to CPI.

A thorough analysis of credit derivative instruments and a practical guide to usage (PDF).

In this article, Arturo Estrella presents theory and evidence arguing that the slope of the yield curve is a strong predictor of ...

This handy glossary from Freddie Mac covers a wide range of bond market terminology, with a heavy emphasis on mortgage ...

This article analyzes the components of inflation protected bond returns - the real rate and the inflation accrual. The article ...

This brochure provides an introduction to the fixed income derivatives traded at Eurex, including an explanation of the ...

Use this workbook of questions and case studies as a companion to the brochure, Interest Rate Derivatives: Fixed Income Trading ...

The authors walk through a case study to illustrate approaches to liability-driven fixed income portfolios, including ...

This white paper discusses the ups and downs of the convertible bond (CB) and convertible bond hedging (CBH) markets before, ...

In this draft paper presented at the Spring 2010 conference of the Brookings Papers on Economic Activity (BPEA), former Federal ...

Read the transcription of the Federal Reserve Bank of New York executive vice president's remarks from the Third Annual ...

In this article, the author examines and proposes a hedge against interest rate risk of European, U.K., and U.S. corporate bond ...

Mr. Yeats reviews where recent issuance of hybrid debt fits in the capital structure of companies, highlighting the potential ...

Three leading authorities on sovereign wealth funds, John Nugée, Andrew Rozanov, and George Hoguet, assess how the crisis has ...

The authors look at inflationary expectations from traditional TIPS/nominal yield spreads as well as the inflation swaps market ...

This report describes a quantitative approach to valuing the default option embedded in corporate debt and implications for ...

This book explains the modeling of cash CDOs, credit-rating agency approaches to assigning credit ratings, and the use of CLOs in ...

Read summaries of 14 key sessions from the recently concluded Third Annual CFA Institute European Investment Conference in ...

The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...