IAE de Rennes
11, rue Jean Macé
Rennes, 35000
France
http://perso.univ-rennes1.fr/franck.moraux/
Université de Rennes I and CREM
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Term Structure, Interest Rates, Factor Models, Principal Component Analysis, Common Principal Component Analysis
Bankruptcy procedures, Debt pricing, Default, Liquidation
Contingent Claim Analysis, Debt Equity Swap, Design
Credit spreads, equity market, long run relation, short term dynamics
Bankruptcy procedure, Extended debt
Debt renegotiation, Debt pricing
Agency theory, private benefits, tunneling, contingent claim analysis
Hawkes process, self exciting process, clustering effects
Immunization, Bond portfolio, Mean-variance, Duration, Risk management
JEL Classification: G12, G13, G14 Inflation-indexed bonds, French bond market, inflation swap rates, inflation expectations, inflation compensation, liquidity, spread, euro-area JEL Classification: G12, G13, G14 Inflation-indexed bonds, French bond market, inflation swap rates, inflation expectations, liquidity
Obligations Assimilables du Trésor, OAT, French inflation-indexed bonds, nominal- indexed bond spreads, inflation swaps, inflation expectations, macroeconomic news, monetary policy shocks, euro area, inflation anchoring, stability
inflation expectations, OAT market, inflation swaps, inflation compensation, euro-area, spread, liquidity
term structure of French interest rates, OATs, yield curve, Svensson model, on-the-run premium, sovereign spread, predictability, Obligations Assimilables du Tresor, curve fit
