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Author : Christoph Stellner
Publisher :
ISBN 13 :
Total Pages : 147 pages
Book Rating : 4.:/5 (9 download)
Download or read book Corporate Bond Risk Factors in Eurozone Bond Markets written by Christoph Stellner and published by . This book was released on 2014 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 0471649511
Total Pages : 1026 pages
Book Rating : 4.4/5 (716 download)
Download or read book The Handbook of European Fixed Income Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2004-02-03 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: A well-rounded guide for those interested in European financial markets With the advent of the euro and formation of the European Union, financial markets on this continent are slowly beginning to gain momentum. Individuals searching for information on these markets have come up empty-until now. The Handbook of European Fixed Income Markets is the first book written on this burgeoning market. It contains extensive, in-depth coverage of every aspect of the current European fixed income markets and their derivatives. This comprehensive resource includes both a qualitative approach to products, conventions, and institutions as well as quantitative coverage of valuation and analysis of each instrument. The Handbook of European Fixed Income Markets introduces readers to developed markets such as the U.K., France, Germany, Italy, Spain, and Holland, as well as emerging markets in Eastern Europe. Government and corporate bond market instruments and institutions are also discussed. U.S.-based investors, researchers, and academics as well as students and financial professionals in other parts of the world will all turn to this book for complete and accurate information on European financial instruments and markets. Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finances services in London.
Author : Marida Bertocchi
Publisher : World Scientific
ISBN 13 : 9814440167
Total Pages : 288 pages
Book Rating : 4.8/5 (144 download)
Download or read book Euro Bonds written by Marida Bertocchi and published by World Scientific. This book was released on 2014 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This presents the most recent developments in the Euro bond market. It discusses the problems of the Euro countries, the proposed solutions advocated by European as well as international institutions and investors. Particular emphasis is given to systemic risk and contagion as well as to specific innovative instruments such as structured financial products which protect various classes of investors.
Author : Tamara Teplova
Publisher : Routledge
ISBN 13 : 1000201783
Total Pages : 351 pages
Book Rating : 4.0/5 (2 download)
Download or read book Emerging Bond Markets written by Tamara Teplova and published by Routledge. This book was released on 2020-10-25 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: The bond market is a key securities market and emerging economies present exciting, new investment opportunities. This timely book provides insights into these emerging bond markets through empirical models and analytical databases, i.e. Bloomberg, Eikon Refinitiv and the Russian Cbonds. The book looks at the dynamics of the development of emerging bond markets, their competitiveness, features and patterns using macro and micro level data. It also takes into consideration various securities type i.e. government, corporate, sub-federal and municipal bonds, to identify respective challenges and risks. The book also analyses factors that may inhibit or stimulate a well-balanced financial market. It includes case studies of Asian, Latin American and Russian bond markets, as also as cross-country comparisons. It will be a useful reference for anyone who is interested to learn more of the bond market and the modelling techniques for critical data analysis.
Author : Ms.Diana Ayala Pena
Publisher : International Monetary Fund
ISBN 13 : 1513539205
Total Pages : 45 pages
Book Rating : 4.5/5 (135 download)
Download or read book What Slice of the Pie? The Corporate Bond Market Boom in Emerging Economies written by Ms.Diana Ayala Pena and published by International Monetary Fund. This book was released on 2015-07-07 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the determinants of shifts in debt composition among EM non-financial corporates. We show that institutions and macro fundamentals create an enabling environment for bond market development. During the recent boom episode, however, global cyclical factors accounted for most of the variation of bond shares in total corporate debt. The sensitivity to global factors appears to vary with relative bond market size—which we interpret to be associated with liquidity and easy entry and exit—rather than local fundamentals. Foreign bank linkages help explain why bond markets increasingly substituted for banks in channeling liquidity to EMs. Our results highlight the risk of capital flow reversal in EMs that benefited from the upturn in the global financial cycle mostly due to their liquid markets rather than strong fundamentals.
Author : Mary Pieterse-Bloem
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (13 download)
Download or read book Time-Varying Importance of Country and Industry Factors in European Corporate Bonds written by Mary Pieterse-Bloem and published by . This book was released on 2016 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study financial integration in Europe by looking at the time-varying relative importance of country versus industry factors in the European corporate bond market. Using a unique dataset that is representative for the universe of actively quoted corporate bonds, we find that although unconditionally the country factor dominates the industry factor, there is substantial time variation and no trend towards full integration. Breaks in the variation correspond with several important events in the European financial market integration, such as the introduction of the Euro and the sovereign debt crisis.
Download or read book The ... Guide to European Bonds written by and published by . This book was released on 1999 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Antje Berndt
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (129 download)
Download or read book Decomposing the Returns on European Corporate Debt written by Antje Berndt and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Common variation in the prices of defaultable securities may not always be associated with a rational response to an increase in the relative importance of a macroeconomic risk factor. Building on Campbell's ICAPM framework, we show that risk premia of assets with nonlognormal return distributions represent compensation not only for exposure to macroeconomic factors but also for unexpected revisions to these assets' return distributions, such as sudden increases in the likelihood of extreme events. If these revisions are made almost simultaneously across assets - perhaps as a systemic response to adverse credit-market events - they induce covariation in risk premia unrelated to the time variation of priced macroeconomic factors. Evidence from the European corporate bond market supports this theory. Asset pricing tests also document patterns consistent with the quot;flight-to-quality'' effect for European corporate debt.
Author : Volker Flögel
Publisher : Springer Science & Business Media
ISBN 13 : 3835092685
Total Pages : 153 pages
Book Rating : 4.8/5 (35 download)
Download or read book The Microstructure of European Bond Markets written by Volker Flögel and published by Springer Science & Business Media. This book was released on 2008-05-09 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on unique datasets for German federal securities, EMU government bonds and Euro corporate bonds Volker Flögel analyzes the distinctive features of multiple dealer markets in general and bond markets in particular. He focuses on the organizational structure of the market for German federal securities, the interaction between the interdealer and the customer-dealer market for EMU government bonds, and the cost of liquidity for Euro corporate bonds.
Author : European Bond Commission
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 656 pages
Book Rating : 4.3/5 (512 download)
Download or read book The European Bond Markets written by European Bond Commission and published by Irwin Professional Publishing. This book was released on 1989 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edition of this popular resource continues to be the leading reference work on the European debt markets. The book contains new sections & new coverage of Israel & the new generation of markets in Eastern Europe, including Hungary, the Czech Republic, Slovakia, Bulgaria, & Russia. In addition to its user-friendly country-by-country format, a special chapter about bond mechanics helps readers understand settlement & yield calculation, allowing comparisons to be made between different markets.
Author : Arne Wilkes
Publisher : Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
ISBN 13 : 9783631606049
Total Pages : 0 pages
Book Rating : 4.6/5 (6 download)
Download or read book Determinants of Credit Spreads written by Arne Wilkes and published by Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften. This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to understand the dynamic interdependencies between credit spreads and their determinants. Based on a sample of European corporate bonds and different macroeconomic variables the author analyzes the determinants of credit spreads during the period of 1999 to 2009. With a macro-finance term structure model he shows that the European corporate bond market is largely integrated with some remaining segmentation. Furthermore, panel regressions yield that declining liquidity leads to a significant widening of credit spreads especially during the recent financial crisis. Finally, he demonstrates based on a cointegration analysis that a long-term relationship exists between credit spreads and their determinants and that credit spreads were significantly overpriced after the collapse of Lehman Brothers but have almost returned to equilibrium towards the end of 2009.
Author : Li L. Ong
Publisher : INTERNATIONAL MONETARY FUND
ISBN 13 : 9781451861716
Total Pages : 25 pages
Book Rating : 4.8/5 (617 download)
Download or read book An Anatomy of Corporate Bond Markets: Growing Pains and Knowledge Gains written by Li L. Ong and published by INTERNATIONAL MONETARY FUND. This book was released on 2005-07-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this paper is to discuss the key issues relating to the development of local corporate bond markets. We examine the requirements for local corporate bond market development, and compare and contrast experiences across both mature and emerging markets. We suggest that core aspects such as benchmarking, corporate governance and disclosure, credit risk pricing, the availability of reliable trading systems, and the development of hedging instruments are fundamental for improving the breadth and depth of corporate debt markets. The demand and supply of corporate bonds are dependent on factors such as the investor base, both local and foreign, and government policies toward the issuance process and associated costs, as well as the taxation regime. The sequencing of reforms is key to market development.
Author : Bastian Von Beschwitz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (963 download)
Download or read book Are Euro-area Corporate Bond Markets Irrelevant? written by Bastian Von Beschwitz and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas Aeschbacher
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (974 download)
Download or read book Factor Investing in the European Corporate Bond Market written by Thomas Aeschbacher and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis provides evidence that a multi-factor portfolio considering the factors Size, Value, Low-Risk and Momentum is able to generate superior risk-adjusted returns in the European investment-grade corporate bond market. Value and Momentum are able to outperform the benchmark prior to transaction costs. After transaction costs, only Value is able to outperform and its higher returns are not merely a compensation for bearing higher systematic risk. Size is the only factor contributing a higher risk-adjusted return than the benchmark. It adds to the multi-factor portfolio's risk-adjusted outperformance, even after accounting for transaction costs. Low-Risk exhibits a strong negative correlation of its relative returns with respect to the Value factor. This provides valuable diversification benefits which help to reduce the tracking error and the multi-factor portfolio's volatility substantially.
Author : Charles R. Geisst
Publisher :
ISBN 13 :
Total Pages : 188 pages
Book Rating : 4.:/5 (49 download)
Download or read book Raising International Capital written by Charles R. Geisst and published by . This book was released on 1980 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joost Bats
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Physical and Transition Risk Premiums in Euro Area Corporate Bond Markets written by Joost Bats and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Darrell Duffie
Publisher : Princeton University Press
ISBN 13 : 1400829208
Total Pages : 488 pages
Book Rating : 4.4/5 (8 download)
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
