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Author : Sara Cecchetti
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (16 download)
Download or read book A Quantitative Analysis of Risk Premia in the Corporate Bond Market written by Sara Cecchetti and published by . This book was released on 2017 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Redouane Elkamhi
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (129 download)
Download or read book Time Varying Risk Premia in Corporate Bond Markets written by Redouane Elkamhi and published by . This book was released on 2008 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the link between corporate bond risk premia and equity returns in a large panel of corporate bond transaction data. In contrast to previous work, we find that a significant part of the time variation in bond risk premia can be explained by equity implied bond risk premium estimates. We also document a large time variation in the expected loss component of bond spreads. This component is related to total asset volatility, whereas the risk premium is related to systematic volatility. In addition, we show by means of linear regressions that augmenting the set of variables predicted by typical structural models with equity-implied bond default risk premia significantly increases explanatory power.
Author : F. Hagenstein
Publisher : Springer
ISBN 13 : 0230523293
Total Pages : 355 pages
Book Rating : 4.2/5 (35 download)
Download or read book Investing in Corporate Bonds and Credit Risk written by F. Hagenstein and published by Springer. This book was released on 2004-10-01 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investing in Corporate Bonds and Credit Risk is a valuable tool for any corporate bond investor. All the most recent developments and strategies in investment in corporate bonds are analyzed included with qualitative and quantitative approaches. A complete and up-to-date investment process is developed through the book, using many examples taken from banking practice. The growing significance of derivative instruments and credit diversification to bond investors is also analyzed in detail.
Author : Arik Ben Dor
Publisher : John Wiley & Sons
ISBN 13 : 1118167422
Total Pages : 421 pages
Book Rating : 4.1/5 (181 download)
Download or read book Quantitative Credit Portfolio Management written by Arik Ben Dor and published by John Wiley & Sons. This book was released on 2011-11-08 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds—spread, liquidity, and Treasury yield curve risk—as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.
Author : Frank J. Fabozzi
Publisher : MIT Press
ISBN 13 : 026204627X
Total Pages : 937 pages
Book Rating : 4.2/5 (62 download)
Download or read book Bond Markets, Analysis, and Strategies, tenth edition written by Frank J. Fabozzi and published by MIT Press. This book was released on 2021-12-07 with total page 937 pages. Available in PDF, EPUB and Kindle. Book excerpt: The updated edition of a widely used textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategy. This new edition of a widely used textbook covers types of bonds and their key features, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. It includes real-world examples and practical applications of principles as provided by third-party commercial vendors. This tenth edition has been substantially updated, with two new chapters covering the theory and history of interest rates and the issues associated with bond trading. Although all chapters have been updated, particularly those covering structured products, the chapters on international bonds and managing a corporate bond portfolio have been completely revised. The book covers the basic analytical framework necessary to understand the pricing of bonds and their investment characteristics; sectors of the debt market, including Treasury securities, corporate bonds, municipal bonds, and structured products (residential and commercial mortgage-backed securities and asset-backed securities); collective investment vehicles; methodologies for valuing bonds and derivatives; corporate bond credit risk; portfolio management, including the fundamental and quantitative approaches; and instruments that can be used to control portfolio risk.
Author : Mark Guthner
Publisher : McGraw Hill Professional
ISBN 13 : 0071790624
Total Pages : 337 pages
Book Rating : 4.0/5 (717 download)
Download or read book Quantitative Analytics in Debt Valuation & Management written by Mark Guthner and published by McGraw Hill Professional. This book was released on 2012-05-21 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: A breakthrough methodology for profiting in the high-yield and distressed debt market Global advances in technology give investors and asset managers more information at their fingertips than ever before. With Quantitative Analytics in Debt Valuation and Management, you can join the elite club of quantitative investors who know how to use that information to beat the market and their competitors. This powerful guide shows you how to sharpen your analytical process by considering valuable information hidden in the prices of related assets. Quantitative Analytics in Debt Valuation and Management reveals a progressive framework incorporating debt valuation based on the interrelationships among the equity, bond, and options markets. Using this cutting-edge method in conjunction with traditional debt and equity analysis, you will reduce portfolio risk, find assets with the highest returns, and generate dramatically greater profits from your transactions. This book’s “fat-free” presentation and easy-to-navigate format jump-starts busy professionals on their way to mastering proven techniques to: Determine the “equity risk” inherent in corporate debt to establish the causal relationship between a company’s debt, equity, and asset values Price and analyze corporate debt in real time by going beyond traditional methods for computing capital requirements and anticipated losses Look with an insider’s eye at risk management challenges facing banks, hedge funds, and other institutions operating with financial leverage Avoid the mistakes of other investors who contribute to the systemic risk in the financial system Additionally, you will be well prepared for the real world with the book’s focus on practical application and clear case studies. Step-by-step, you will see how to improve bond pricing and hedge debt with equity, and how selected investment management strategies perform when the model is used to drive decision making.
Author : Christian Speck
Publisher :
ISBN 13 :
Total Pages : 63 pages
Book Rating : 4.:/5 (13 download)
Download or read book Corporate Bond Risk Premia written by Christian Speck and published by . This book was released on 2013 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the holding period risk premia of U.S. corporate and Treasury bonds. Using excess return regressions, two priced risk factors are derived from yield and macroeconomic data: a priced term risk factor and a priced credit risk factor explain half of the variation in one-year corporate and Treasury excess returns. The information of the term risk factor is not represented by major yield characteristics but is a hidden risk factor whereas the credit risk factor is not hidden. The term risk premium is earned primarily for exposure to inflation and the yield level and the credit risk premium is earned for an exposure to real growth and the credit spread level. The regression results are usefull for the specification of the market prices of risk in affine credit term structure models: The two-factor representation of the risk premium suggests a rank restriction on the market prices of risk and an additional pricing factor to capture the hidden property of term risk.
Author : William D. Jackson
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.F/5 ( download)
Download or read book Corporate Bond Risk Premiums and Public Policies written by William D. Jackson and published by . This book was released on 1985 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Antonio Diaz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book What Drives Corporate Bond Risk Premia? Evidence from the CDS Market written by Antonio Diaz and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article studies the economic factors behind corporate default risk premia in Europe during the period 2006-2010. We employ information embedded in Credit Default Swap (CDS) contracts to quantify expected excess returns from the underlying bonds in market-wide default circumstances. We disentangle the compensation to investors for unexpected changes in the creditworthiness of the bond issuer from their remuneration for the risk that the bond's price will drop in the event of default. Our results show that the risk premia associated with systematic factors influencing default arrivals represent approximately 40% of total CDS spread (on median). These premia also exhibit a strong source of commonality; a single principal component explains approximately 88% of their joint variability. This factor significantly covaries with aggregate illiquidity and sovereign risk variables. Empirical evidence suggests a public-to-private risk transfer between sovereign credit spread and corporate risk premia. Finally, the compensation in the event of default is approximately 14 basis points of the total CDS spread, and a significant amount of jump-at-default risk may not be diversifiable.
Author : Massimo Guidolin
Publisher :
ISBN 13 :
Total Pages : 63 pages
Book Rating : 4.:/5 (13 download)
Download or read book Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times written by Massimo Guidolin and published by . This book was released on 2016 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the effects of a conventional monetary expansion, quantitative easing, and operation twist on corporate bond yields and spreads. These policies are simulated as shocks to the Treasury yield curve, and the impulse response functions of corporate yields and spreads to shocks are computed using flexible models with regimes. We construct weekly bond portfolios sorting individual bond trades by rating and maturity using TRACE. The paper examines two types of models -- single-state vector autoregressive (VAR) models and three-state Markov switching VAR models. Our results indicate that a standard single-state VAR model is inadequate to capture the dynamics of the data. We find that none of the policies -- conventional or unconventional -- can persistently lower corporate spreads. This result is likely due to the negative expectations about the business cycle generated by these policies, which affect bond risk premia. Operation twist is the only policy capable of lowering corporate yields. This finding can be explained by the fact that operation twist, which does not imply an expansion of the monetary base, is able to flatten the riskless yield curve without generating expectations of higher future inflation.
Author : Frank De Jong
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (129 download)
Download or read book Liquidity Risk Premia in Corporate Bond Markets written by Frank De Jong and published by . This book was released on 2009 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the role of liquidity risk in the pricing of corporate bonds. We show that corporate bond returns have signifcant exposures to fluctuations in treasury bond liquidity and equity market liquidity. Further, this liquidity risk is a priced factor for the expected returns on corporate bonds, and the associated liquidity risk premia help to explain the credit spread puzzle. In terms of expected returns, the total estimated liquidity risk premium is around 0.6% per annum for US long-maturity investment grade bonds. For speculative grade bonds, which have higher exposures to the liquidity factors, the liquidity risk premium is around 1.5% per annum. We find very similar evidence for the liquidity risk exposure of corporate bonds for a sample of European corporate bond prices.
Author : Edward E. Qian
Publisher : CRC Press
ISBN 13 : 149873880X
Total Pages : 245 pages
Book Rating : 4.4/5 (987 download)
Download or read book Risk Parity Fundamentals written by Edward E. Qian and published by CRC Press. This book was released on 2016-02-10 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by an experienced researcher and portfolio manager who coined the term "risk parity," this book provides readers with a practical understanding of the risk parity investment approach. It uses fundamental, quantitative, and historical analysis to address the merit of risk parity as well as the practical and underlying aspects of risk parity investing. Requiring no advanced degrees in quantitative fields, the book analyzes risk parity performance from historical periods and more recent market environments.
Author : Philipp J. Schönbucher
Publisher : John Wiley & Sons
ISBN 13 : 0470868171
Total Pages : 396 pages
Book Rating : 4.4/5 (78 download)
Download or read book Credit Derivatives Pricing Models written by Philipp J. Schönbucher and published by John Wiley & Sons. This book was released on 2003-10-31 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.
Author : Barbara S. Petitt
Publisher : John Wiley & Sons
ISBN 13 : 1119029791
Total Pages : 743 pages
Book Rating : 4.1/5 (19 download)
Download or read book Fixed Income Analysis written by Barbara S. Petitt and published by John Wiley & Sons. This book was released on 2015-01-30 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essential guide to fixed income portfolio management, from the experts at CFA Fixed Income Analysis is a new edition of Frank Fabozzi's Fixed Income Analysis, Second Edition that provides authoritative and up-to-date coverage of how investment professionals analyze and manage fixed income portfolios. With detailed information from CFA Institute, this guide contains comprehensive, example-driven presentations of all essential topics in the field to provide value for self-study, general reference, and classroom use. Readers are first introduced to the fundamental concepts of fixed income before continuing on to analysis of risk, asset-backed securities, term structure analysis, and a general framework for valuation that assumes no prior relevant background. The final section of the book consists of three readings that build the knowledge and skills needed to effectively manage fixed income portfolios, giving readers a real-world understanding of how the concepts discussed are practically applied in client-based scenarios. Part of the CFA Institute Investment series, this book provides a thorough exploration of fixed income analysis, clearly presented by experts in the field. Readers gain critical knowledge of underlying concepts, and gain the skills they need to translate theory into practice. Understand fixed income securities, markets, and valuation Master risk analysis and general valuation of fixed income securities Learn how fixed income securities are backed by pools of assets Explore the relationships between bond yields of different maturities Investment analysts, portfolio managers, individual and institutional investors and their advisors, and anyone with an interest in fixed income markets will appreciate this access to the best in professional quality information. For a deeper understanding of fixed income portfolio management practices, Fixed Income Analysis is a complete, essential resource.
Author : Darrell Duffie
Publisher : Princeton University Press
ISBN 13 : 1400829178
Total Pages : 415 pages
Book Rating : 4.4/5 (8 download)
Download or read book Credit Risk written by Darrell Duffie and published by Princeton University Press. This book was released on 2012-01-12 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.
Author : Robert F. Vandell
Publisher :
ISBN 13 :
Total Pages : 158 pages
Book Rating : 4.:/5 (43 download)
Download or read book A History of Risk-premia Estimates for Equities, 1944-1978 written by Robert F. Vandell and published by . This book was released on 1983 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Whartons Financial Institutions Center of the Wharton School at the University of Pennsylvania presents the full text of the October 2000 article entitled "Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market," written by Marida Bertocchi, Rosella Giacometti, and Stavros A. Zenios. The text is available in PDF format. This paper discusses a multi-factor model for the yields of corporate bonds that allows the analysis of factors which influence the changes in the term structure of corporate bonds.
