The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds [PDF]
This paper provides estimates of the extent to which corporate and personal income taxes are capitalized in bond prices. The methodology yields estimates of the degree of tax capitalization, rather than an implied tax rate.
Stuart Landon
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Securitization of Longevity and Mortality Risk [PDF]
This paper deals with Alternative Risk Transfer (ART) through the securitization of longevity and mortality risks in pension plans and commercial life insurance. Various types of such mortality-linked securities are described (e.g., CATM bonds, longevity
Tomas Cipra
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Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products: The Effect of Investment Risk [PDF]
Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk.
De Waegenaere, A.M.B. +2 more
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Longevity risks and capital markets: The 2010-2011 update [PDF]
This Special Issue of Geneva Papers on Risk and Insurance - Issues and Practice contains 10 contributions to the academic literature all dealing with longevity risk and capital markets.
MacMinn, Richard +3 more
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THE DETERMINANTS OF COUPON DISCOUNTS FOR BREAKFAST CEREALS [PDF]
This study identifies the determinants of coupon values at the brand level using a framework developed from price discrimination theory and the principles of demand. Couponing is considered within the context of a complex marketing program in which it is
Price, Gregory K., Connor, John M.
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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives [PDF]
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and ...
Anders B. Trolle, Eduardo S. Schwartz
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Longevity risk and capital markets: The 2009-2010 update [PDF]
This Special Issue of the North American Actuarial Journal contains ten contributions to the academic literature all dealing with longevity risk and capital markets.
MacMinn, Richard +3 more
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Should we Subsidize Longevity? [PDF]
This paper studies the design of the optimal non linear taxation in an economy where longevity varies across agents, and depends on three factors: longevity genes, health investment and farsightedness.
Marie-Louise Leroux +2 more
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Optimal Bond Trading with Personal Taxes: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves [PDF]
The assumption that bondholders follow either a buy-and-hold or a continuous realization trading policy, rather than the optimal trading policy,is at variance with reality and, as we demonstrate, may seriously bias the estimation of the yield curve and ...
George M. Constantinides +1 more
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The default risk of high-yield bonds. [PDF]
This paper investigates the default behavior of original issue rated non-convertible high-yield bonds. The hazard model simultaneously estimates the impact of bond age, firm- and issue-specific characteristics, and changing economic conditions.
McDonald, CG, Van de Gucht, Linda
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