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 →
Sovereign loan portfolios of Multilateral Development Banks (MDBs) typically consist of only a small number of borrowers and hence are heavily exposed to single name concentration risk. Based on realistic MDB portfolios constructed from publicly available data, this paper quantifies the magnitude of
This paper investigates the evolving link between cryptocurrency and equity markets in the context of the recent wave of corporate Bitcoin (BTC) treasury strategies. We assemble a dataset of 39 publicly listed firms holding BTC, from their first acquisition through April 2025. Using daily logarithmi
Loss Given Default (LGD) is a key risk parameter in determining a bank’s regulatory capital. During LGD-estimation, realised recovery cash flows are to be discounted at an appropriate rate. Regulatory guidance mandates that this rate should allow for the time value of money, as well as include a ris
To quantify the changes in the credit rating of a bond is an important mathematical problem for the credit rating industry. To think of the credit rating as the state a Markov chain is an interesting proposal leading to challenges in mathematical modeling. Since cumulative default rates are more rea
This paper investigates an infinite horizon, discounted, consumption-portfolio problem in a market with one bond, one liquid risky asset, and one illiquid risky asset with proportional transaction costs. We consider an agent with liquidity preference, modeled by a Cobb-Douglas utility function that
We explore the interplay between sovereign debt default/renegotiation and environmental factors (e.g., pollution from land use, natural resource exploitation). Pollution contributes to the likelihood of natural disasters and influences economic growth rates. The country can default on its debt at an
Large Language Models (LLMs) have been shown to perform well for many downstream tasks. Transfer learning can enable LLMs to acquire skills that were not targeted during pre-training. In financial contexts, LLMs can sometimes beat well-established benchmarks. This paper investigates how well LLMs pe
We investigate the concept of network momentum, a novel trading signal derived from momentum spillover across assets. Initially observed within the confines of pairwise economic and fundamental ties, such as the stock-bond connection of the same company and stocks linked through supply-demand chains
Local Volatility (LV) is a powerful tool for market modeling, enabling the generation of arbitrage-free scenarios calibrated to all European options. To implement LV, we need to interpolate and extrapolate option prices. This approach is significantly faster and more accurate than any parameterized
For countries with underdeveloped financial systems, a move toward a more developed financial system reduces bank margins and profitability. Controlling for bot
This paper introduces a new market-implied object, Time to Transition (TtT), extracted from the difference between two selected nodes of the greenium term structure. TtT is defined as the latent waiting time until this cross-maturity greenium difference vanishes, meaning that the greenium becomes eq
We study the dynamics of token launched on Pump.fun, a Solana-based launchpad platform, to identify the determinants of the token success. Pump.fun employs a bonding curve mechanism to bootstrap initial liquidity possibly leading to graduation to the on-chain market, which can be seen as a token suc
Financial time series forecasting presents significant challenges due to complex nonlinear relationships, temporal dependencies, variable interdependencies and limited data availability, particularly for tasks involving low-frequency data, newly listed instruments, or emerging market assets. Time Se
As several studies have shown, predicting credit risk is still a major concern for the financial services industry and is receiving a lot of scholarly interest. This area of study is crucial because it aids financial organizations in determining the probability that borrowers would default, which ha
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic parsimonious model, this pricing measure turns out to be an equiva
We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specifically, we first develop a semi-exact log-Euler scheme for the Heston model with stochastic interest rates. Then, under mild assumptions, we s
The Total Portfolio Approach and Strategic Asset Allocation are widely viewed as competing frameworks for institutional portfolio management. We argue they differ in a single governance parameter: the tracking error constraint. Using U.S. equity and bond data from 2000 to 2026, with portfolio simula
This paper describes a discrete-time model of regularly-issued sovereign debt dynamics under a deficit-driven nominal debt growth regime that explicitly accounts for granular maturity. New issuance follows fixed allocations across a finite maturity ladder, and the government budget constraint determ
We examine a delayed stochastic interest rate model with super-linearly growing coefficients and develop several new mathematical tools to establish the properties of its true and truncated EM solutions. Moreover, we show that the true solution converges to the truncated EM solutions in probability
Estimating lifetime probabilities of default (PDs) under IFRS~9 and CECL requires projecting point–in–time transition matrices over multiple years. A persistent weakness is that macroeconomic forecast errors compound across horizons, producing unstable and volatile PD term structures. This paper r