Fixed-income instruments whose price depends in large part upon judgments of the creditworthiness of a corporation or government.
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What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?
Given a bond and a stock issued by the same issuer, what is the appropriate ratio of bond-to-stock one should hold in order to minimize the specific risk to that issuer? Equivalently, what is the ...
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Jumps in the evolution of observed negative interest rates related to changes in credit ratings?
If credit risk is to be considered completed integrated in the market prices (integrated credit and market risk), the change in the credit rate will trigger the change in the interest rate/market ...
