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Author : John Bowles Major
Publisher :
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.:/5 (466 download)
Download or read book Factors Affecting Risk in Corporate Bonds written by John Bowles Major and published by . This book was released on 1970 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tracy R. Hicks
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (549 download)
Download or read book Risk Factors Affecting Corporate Bond Yields written by Tracy R. Hicks and published by . This book was released on 1972 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Edwin J. Elton
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (129 download)
Download or read book Factors Affecting the Valuation of Corporate Bonds written by Edwin J. Elton and published by . This book was released on 2008 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The valuation of corporate debt is an important issue in asset pricing. While there has been an enormous amount of theoretical modeling of corporate bond prices, there has been relatively little empirical testing of these models. Recently there has been extensive development of rating based models as a type of reduced form model. These models take as a premise that groups of bonds can be identified which are homogeneous with respect to risk. For each risk group the models require estimates of several characteristics such as the spot yield curve, the default probabilities and the recovery rate. These estimates are then used to compute the theoretical price for each bond in the group. The purpose of this article is to clarify some of the differences among these models, to examine how well they explain prices, and to examine how to group bonds to most effectively estimate prices.
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 : Jennie Bai
Publisher :
ISBN 13 :
Total Pages : 75 pages
Book Rating : 4.:/5 (13 download)
Download or read book Common Risk Factors in the Cross-Section of Corporate Bond Returns written by Jennie Bai and published by . This book was released on 2018 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the cross-sectional determinants of corporate bond returns and find that downside risk is the strongest predictor of future bond returns. We also introduce common risk factors based on the prevalent risk characteristics of corporate bonds -- downside risk, credit risk, and liquidity risk -- and find that these novel bond factors have economically and statistically significant risk premia that cannot be explained by long-established stock and bond market factors. We show that the newly proposed risk factors outperform all other models considered in the literature in explaining the returns of the industry- and size/maturity-sorted portfolios of corporate bonds.
Author : Michael A. H. Dempster
Publisher : Cambridge University Press
ISBN 13 : 9780521584241
Total Pages : 614 pages
Book Rating : 4.5/5 (842 download)
Download or read book Mathematics of Derivative Securities written by Michael A. H. Dempster and published by Cambridge University Press. This book was released on 1997-10-13 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt: During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.
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.
Author : Mr.Jorge A. Chan-Lau
Publisher : INTERNATIONAL MONETARY FUND
ISBN 13 : 9781451857580
Total Pages : 0 pages
Book Rating : 4.8/5 (575 download)
Download or read book Corporate Bond Risk and Real Activity written by Mr.Jorge A. Chan-Lau and published by INTERNATIONAL MONETARY FUND. This book was released on 2001-10-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the future, even upon controlling for a commonly used predictor such as the commercial paper spread. The paper also finds that systematic risk factors associated with the yield spread of investment-grade bonds to a variety of risk-free benchmarks - Treasuries, agency bonds, and AAA-rated bonds - have significant predictive content for future growth rate of industrial production at 3 to 18 months forecasting horizon, both in- and out-of-sample. Finally, a regime-switching estimation shows that the systematic risk component is also able to capture "industrial production business cycle" well.
Author : Walter Braddock Hickman
Publisher :
ISBN 13 :
Total Pages : 576 pages
Book Rating : 4.3/5 (91 download)
Download or read book Corporate Bond Quality and Investor Experience written by Walter Braddock Hickman and published by . This book was released on 1958 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: A study by the National Bureau of Economic Research, New York.
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 :
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (249 download)
Download or read book Factors Affecting the Valuation of Corporate Bonds written by and published by . This book was released on 2002 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Elroy Dimson
Publisher : CUP Archive
ISBN 13 : 9780521341042
Total Pages : 328 pages
Book Rating : 4.3/5 (41 download)
Download or read book Stock Market Anomalies written by Elroy Dimson and published by CUP Archive. This book was released on 1988-03-17 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Aki Lappalainen
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (13 download)
Download or read book Company and Asset Specific Risk Factors written by Aki Lappalainen and published by . This book was released on 2016 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the theory that risk factors divide to the company specific and asset specific risk factors. The first group affects to the expected value of an equity of a company whereas the second only to the positive cash outflows for a specific asset. I find that equity market, value, and quality factors are indeed possible company specific risk factors with influence on an expected equity of a company and dividend and volatility factors are possible stock specific risk factors affecting positively to dividends and other cash payments from a company to shareholders. These results are statistically significant and important for our understanding of risk factors and their characteristics.
Author : Arne Christian Klein
Publisher :
ISBN 13 : 9783957294524
Total Pages : pages
Book Rating : 4.2/5 (945 download)
Download or read book The Time-varying Impact of Systematic Risk Factors on Corporate Bond Spreads written by Arne Christian Klein and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Leland E. Crabbe
Publisher : Wiley
ISBN 13 : 9780471218272
Total Pages : 0 pages
Book Rating : 4.2/5 (182 download)
Download or read book Managing a Corporate Bond Portfolio written by Leland E. Crabbe and published by Wiley. This book was released on 2001-12-14 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Managing a Corporate Bond Portfolio" behandelt die wesentlichen Grundlagen des Portfolio Management von Industrieobligationen. Das Buch gliedert sich in 4 Hauptabschnitte: Abschnitt 1 gibt eine Einführung in Industrieobligationen, Abschitt 2 erläutert die Bewertung und Preisdynamik, Abschnitt 3 konzentriert sich auf das Kreditrisiko und Abschnitt 4 erörtert die Tilgungsanalyse. Es entwickelt einen geeigneten Rahmen für die Bewertung der wichtigsten Risiken im Bereich Industrieobligationen, wie z.B. Kreditrisiko, Zinsrisiko und Tilgungsrisiko. Behandelt die wichtigsten Merkmale von Industrieobligationen. Diskutiert u.a. folgende Themenschwerpunkte: Handeln, Renditekurve und strategische Branchenauswahl. Vermittelt werden topaktuelle Analysetools für eine höhere Rendite und verbesserte Risikosteuerung. Ein unentbehrlicher Ratgeber - geschrieben von zwei Spitzenexperten auf diesem Gebiet.
Author : Leland E. Crabbe
Publisher : Wiley
ISBN 13 : 0471446394
Total Pages : 336 pages
Book Rating : 4.4/5 (714 download)
Download or read book Managing a Corporate Bond Portfolio written by Leland E. Crabbe and published by Wiley. This book was released on 2003-04-21 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Managing a Corporate Bond Portfolio "Crabbe and Fabozzi's Managing a Corporate Bond Portfolio is a refreshingly good book on the neglected topic in fixed income portfolio management. If you want to understand the latest thinking in corporate bonds, what drives prices and why, read this book. You will emerge with knowledge that will help you get an edge in the competitive investing arena." —Tim Opler, Director, Financial Strategy Group, CSFB "A practitioner's guide . . . a creative, comprehensive, and practical book that addresses the myriad of challenges facing managers of corporate bond portfolios. The chapter on liquidity, trading, and trading costs is a must read." —Mary Rooney Head of Credit Strategy, Merrill Lynch "As a Senior Portfolio Manager responsible for managing billions of dollars invested in fixed income product during the mid-1990s, Lee Crabbe was the one Wall Street strategist that I would read every week to help me figure out where value was in the corporate bond market, and for insightful and easy-to-understand special reports that educated me and most investors on the risks and opportunities inherent in new structures and subordinated products. Fortunately for me and investors, Lee Crabbe and Frank Fabozzi have written this book, which compiles much of their previous work on corporate bond valuation, along with new features that are a must read, especially in light of the volatile times in the corporate bond market over the past few years. For portfolio managers, analysts, traders, and even strategists, if there is one book in your bookshelf that you should have on corporate bond portfolio management, it is this one." —William H. Cunningham, Managing Director, Director of Credit Strategy, J.P. Morgan Securities Inc. www.wileyfinance.com
