We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign's creditworthiness breaching a distress threshold. This financial innovation limits ex-ante the ...

A number of recent papers point to the importance of distinguishing between the price reaction to micro and macro shocks in order to reconcile the volatility of individual prices with the observed persistence of aggregate ...

We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide an increasing level of integration in managing market and foreign exchange (FX) ...

Does medical technology originating in countries close to the technology frontier have a significant impact on health outcomes in countries distant from this frontier? This paper considers a framework where lagging countries ...

The importance of trade costs in segmenting product markets cannot be captured by considering aggregate prices or in the absence of information on the direction of trade. We address this problem by utilizing product-specific ...

This paper investigates the determinants of longevity at a macroeconomic level, emphasizing the important role played by education. To analyze the determinants of longevity, we build a model where households intentionally ...

We construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, ...

We develop models for portfolio diversification in the sovereign credit default swap (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...

We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching ...