Fixed income is where quantitative finance’s modeling tradition runs deepest and data runs thinnest. This hub covers term-structure models (affine, HJM-lineage, and their ML successors), yield-curve forecasting, bond risk premia, and credit — spread dynamics, default modeling, and corporate bond market structure.
Two things distinguish strong papers here. First, honest treatment of the small-sample problem: there are only a handful of independent interest-rate cycles in any dataset, so out-of-sample claims rest on far less evidence than equity research enjoys, and papers that acknowledge regime dependence (pre/post-2008 zero-rate era, the 2022 repricing) age better. Second, attention to market plumbing — corporate bond research that ignores dealer intermediation costs and stale quotes produces backtests no desk can trade. The intersection with machine learning is growing fast, but the base rates favor parsimonious models in this asset class more than anywhere else.
Related hubs: Risk Management, Options & Derivatives, Factor Investing.
Explainers from the corpus: ARDL models: appropriate use vs p-hacking → · risk measures beyond VaR →
Every financial crisis has caused a dual shock to the global economy. The shortage of market liquidity, such as default in debt and bonds, has led to the spread of bankruptcies, such as Lehman Brothers in 2008. Using the data for the ETFs of the S&P 500, Nasdaq 100, and Dow Jones Industrial Average
Given that Olympic Games held over the past decade each have cost USD 8.9 billion on average, the size and financial risks of the Games warrant study. The objec
Explainability in AI and ML models is critical for fostering trust, ensuring accountability, and enabling informed decision making in high stakes domains. Yet this objective is often unmet in practice. This paper proposes a general purpose framework that bridges state of the art explainability techn
With the rapid growth of technology, especially the widespread application of artificial intelligence (AI) technology, the risk management level of commercial banks is constantly reaching new heights. In the current wave of digitalization, AI has become a key driving force for the strategic transfor
The rapid growth of the market-based financial system since the mid-1980s has changed the nature of financial intermediation. Within the system, “shadow banks”
The paper is a legal and economic analysis discussing trends in corporate debt ownership and the rise of private credit, relying on narrative data and industry observations without complex mathematical modeling or backtested implementations.
Whether the Refinitiv provide a reliable and trusted methodology in the process of aggregating 10 category scores to overall score?
The Goods and Services Tax (GST) is becoming one of the most prominent topics in Malaysia. The announcement by the Malaysian Ministry of Finance (MOF) in the Bu
This article revisits some issues I raised in a 1999 article on credit rating agencies, which increasingly are the focus of scholars and regulators. I discuss h
This paper examines the pivotal role central banks play in advancing sustainable finance, a crucial component in addressing global environmental and social challenges. As supervisors of financial stability and economic growth, central banks have dominance over the financial system to influence how a
Purpose – Financial ratios are an instrumental tool in the world of finance and hence comprehensive knowledge of its various aspects is mandated for its user. T
The U.S. economy exhibits high inequality and low economic mobility across generations relative to other high-income countries. The U.S. will need to raise more
This is the second in a series of articles that examines the practical applications of economic thought. Its focus is on the most fundamental aspects of finance
This article examines the economic effects of an increase in the duration of home loans on households, focusing on the French real estate market. It highlights trends in the property market, existing loan systems in other countries (such as bullet loans in Sweden and Japanese home loans), the curren
Securitization as a financial instrument has had an extremely significant impact on the world’s financial system. First, by integrating capital markets and the
The growth of so-called “shadow banking” was a significant contributor to the financial crisis of 2008, which had huge social costs that we still grapple with t
The Qur’an categorically prohibits riba, but does not define it. It is commonly argued that riba is defined by hadith. At the time of the revelation about riba,
Up to today, we do not have a precise and commonly accepted definition of green finance for two reasons. First, many publications do not try to define the term
This paper discusses the role of the modern corporate treasurer in a multinational company and its transformation in response to current challenges companies an