Hedging High-Yield and Emerging Market Bond Tail Risk with VIX® Futures

2019 ◽  
Vol 22 (2) ◽  
pp. 81-98 ◽  
Author(s):  
Berlinda Liu ◽  
Hong Xie
Keyword(s):  
Emerging Market ◽  
High Yield ◽  
Tail Risk

Choosing the "Plus" in Core-Plus: The Cases for High-Yield Bonds, Emerging Market Debt, and Sovereign Debt

2001 ◽  
Vol 2001 (1) ◽  
pp. 60-79
Author(s):  
Barry Coffman ◽  
Ismail Dalla ◽  
Kenneth Windheim
Keyword(s):  
Sovereign Debt ◽  
Emerging Market ◽  
High Yield

Tail Risk for Australian Emerging Market Entities

2011 ◽  
Author(s):  
David E. Allen ◽  
Akhmad Kramadibrata ◽  
Robert J. Powell ◽  
Abhay Kumar Singh
Keyword(s):  
Emerging Market ◽  
Tail Risk

scholarly journals Capital Flows in Risky Times: Risk-on / Risk-off and Emerging Market Tail Risk

2020 ◽  
Author(s):  
Anusha Chari ◽  
Karlye Dilts Stedman ◽  
Christian T. Lundblad
Keyword(s):  
Capital Flows ◽  
Emerging Market ◽  
Tail Risk

Central Europe's lower yields may dampen bond outflows

2018 ◽  
Keyword(s):  
Czech Republic ◽  
Emerging Market ◽  
Oil Prices ◽  
High Yield ◽  
Corporate Debt ◽  
Bond Markets ◽  
Quantitative Easing ◽  
The Czech Republic ◽  
Content Type ◽  
Financial Conditions

Subject QE’s influence on Central Europe’s bond markets. Significance Hawkish signals from the ECB are adding to recent strains on global bond markets, causing German ten-year Bund yields to shoot up to their highest levels since July. The sell-off is contributing to sharp outflows from Central Europe’s local debt markets, already under pressure as monetary tightening starts in the region; the Czech Republic, which has raised rates twice since August, is suffering the largest withdrawals. However, the absence of large inflows since the ECB started quantitative easing (QE) in 2015 could help mitigate the fallout from its end. Impacts As OPEC members reaffirm their commitment to production cuts, oil prices are shooting up to their highest level in nearly three years. Sales of speculative-grade US corporate debt have had their strongest New Year since 2014, a sign of enduring demand for high-yield bonds. The three-year low in the dollar index will help keep financial conditions loose and buoy up emerging market currencies.

Global Opportunities in High-Yield and Emerging Market Debt

2005 ◽  
Vol 2005 (1) ◽  
pp. 23-31
Author(s):  
B. Daniel Evans ◽  
Mark J. Siegel
Keyword(s):  
Emerging Market ◽  
High Yield

scholarly journals Spread determinants in corporate bond pricing: The effect of market and liquidity risks

2020 ◽  
pp. 2-2
Author(s):  
Menevşe Özdemir-Dilidüzgün ◽  
Ayşe Altıok-Yılmaz ◽  
Elif Akben-Selçuk
Keyword(s):  
Risk Premium ◽  
Emerging Market ◽  
Corporate Bonds ◽  
Liquidity Risk ◽  
Market Liquidity ◽  
Corporate Bond ◽  
Bond Pricing ◽  
High Yield ◽  
Bond Liquidity ◽  
Investment Grade

This paper investigates the effect of market and liquidity risks on corporate bond pricing in Turkey, an emerging market, and in Europe. Results show that corporate bond returns have exposure to liquidity factors and not to market factors in both settings. Corporate bonds issued in Turkey have significant exposure to fluctuations in benchmark treasury bond liquidity and corporate bond market liquidity; while corporate bonds issued in Eurozone have exposure to equity market liquidity and are sensitive to fluctuations in a 10-year generic government bond liquidity. The total estimated liquidity risk premium is 0.7% per annum for Turkish ?A? and above graded corporate bonds, and 1.08% for the last investment grade level (BBB-) long term bonds. For Eurozone, the total liquidity risk premium is 0.27% for investment grade 5-10 year term bonds, 1.05% for high-yield 1-5 year term bonds and 1.02% for high-yield 5-10 year term category.

Do economic news releases affect tail risk? Evidence from an emerging market

2020 ◽  
pp. 101727
Author(s):  
Konstantinos Gkillas ◽  
Christoforos Konstantatos ◽  
Athanasios Tsagkanos ◽  
Costas Siriopoulos
Keyword(s):  
Emerging Market ◽  
Tail Risk ◽  
Economic News ◽  
News Releases

scholarly journals Capital Flows in Risky Times: Risk-on/Risk-off and Emerging Market Tail Risk

2020 ◽  
Author(s):  
Anusha Chari ◽  
Karlye Dilts Stedman ◽  
Christian Lundblad
Keyword(s):  
Capital Flows ◽  
Emerging Market ◽  
Tail Risk
Sign in / Sign up

Export Citation Format

Share Document