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A Stylized History of the Risk-Free Rate Transition

September 24, 2020

In recent years, a lot of work has gone into preparing for the transition away from LIBOR as a financial benchmark.

By Tom P. Davis, PhD, CFA  |  Fixed Income

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Blog Posts

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September 24, 2020

A Stylized History of the Risk-Free Rate Transition

In recent years, a lot of work has gone into preparing for the transition away from LIBOR as a financial benchmark.

By Tom P. Davis, PhD, CFA  |  Fixed Income

Read more

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September 1, 2020

The Forgotten Credit Risk of Convertible Bonds

Convertible bonds, like any corporate bond, are subject to credit spread risk.

By Peter Zeitsch  |  Fixed Income

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May 13, 2020

COVID-19 and the Mortgage Market

Here we outline policy changes related to the U.S. mortgage market and changes to our mortgage prepayment model to address the...

By Debra Chen, CFA  |  Coronavirus  |  Fixed Income

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December 16, 2019

Convertible Bonds and the Term Structure of Volatility

The aim of any convertible bond (CB) model should be to capture the hybrid nature of the risk. Pricing models generally split the...

By Peter Zeitsch  |  Fixed Income

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October 31, 2019

Beware the Ides of September: Update on the SOFR Transition

Update on the Secured Overnight Financing Rate (SOFR) transition, replacing USD LIBOR.

By Tom P. Davis, PhD, CFA  |  Fixed Income

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Market Synopsis

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