Municipal Bonds: Understanding Credit Risk pot

... they are rating. Credit ratings are only assessments by credit rating agencies of the credit risk associated with a municipal bond. Each credit rating agency evaluates credit risk based on its ... statement. This publication focuses on credit risk. Investments in municipal bonds entail other risks, such as call risk, interest rate risk, inflation risk, and liquidit...

Ngày tải lên: 06/03/2014, 04:21

... 2007. 28 [3] T.R. Bielecki and M. Rutkowski. Credit Risk: Modeling, Valuation and Hedging. Springer-Verlag, Berlin, 2002. [4] M.J. Brennan and E.S. Schwartz. Convertible bonds: valuation and optimal strategies for ... Finance, 32:1699–1715, 1977. [5] M.H.A. Davis and F.R. Lischka. Convertible bonds with market risk and credit risk. In R. Chan, Y K. Kwok, D. Yao, and Q. Zhang, editor...

Ngày tải lên: 22/03/2014, 18:20

... probability of a liquidity shock. credit risk, and one that proxies for liquidity risk. We then compare parameter estimates across subsamples defined along credit ratings and bond maturities. We ... Wooldridge (2001) was used. Liquidity and Credit Risk 2235 0 5 10 15 20 25 30 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 Years to maturity Liquidity risk Default risk Figure 5. The rela...

Ngày tải lên: 06/03/2014, 08:20

... are not risk free. To highlight the modelling issues, we will consider a simplified model of risky corporate debt in the next section. 3 A Risky Bond To motivate our discussion of credit risk, consider ... Section 2 outlines the convertible bond valuation problem in the absence of credit risk. Section 3 reviews credit risk in the case of a simple coupon bearing bond. Section 4 pres...

Ngày tải lên: 15/03/2014, 03:20

... in Section 5.3. References Credit- Suisse-Financial-Products (1997): “Cre ditRisk + a Credit Risk Management Framework,” Technical Document, available from htpp://www.csfb.com/creditrisk. Crosbie, P., ... portfolio of dependent credit risks are needed to adequately measure this risk. Such models are also a prerequisite for the active management of credit portfolios under risk- retu...

Ngày tải lên: 15/03/2014, 04:20

... Shreve, D. Wong: A general framework for pricing credit risk, Mathe- matical Finance, 14: 317-350, 2004. [3] T. Bielecki, M. Rutkowski: Credit Risk: modeling, Valuation and Hedging. Springer-Verlag, Berlin ... K. Giesecke and L. Goldberg: Market price of risk, Preprint,Stanford, 2006 [16] X. Guo, R.A. Jarrow, and Y. Zheng: Information reduction in credit risk models”, Working paper...

Ngày tải lên: 22/03/2014, 18:20

... purposes. B. CREDIT RISK MITIGATION IN THE STANDARDISED APPROACH 1. INTRODUCTION 76. Credit risk mitigation (CRM) relates to the reduction of by, for example, collateral, obtaining credit derivatives ... number of suppliers of credit protection has increased, and new products such as credit derivatives have allowed banks to unbundle their credit risks and to sell those risks t...

Ngày tải lên: 29/03/2014, 06:21

... the 19 Diversifying Credit Risk with International Corporate Bonds Edith X. Liu ∗ March 13, 2010 Abstract This paper explores the potential for US investors to diversify credit risk exposure with ... the credit market risk as well as the foreign exchange risk. Therefore, to explore the effects of foreign exchange on previously measured diversification gains 21 , this sec- tion anal...

Ngày tải lên: 16/02/2014, 02:20

... !  !        34 WORKING PAPER NO 13 CREDIT RISK TRANSFER AND FINANCIAL SECTOR PERFORMANCE Wolf Wagner & Ian Marsh

Ngày tải lên: 06/03/2014, 08:20

... Periods Spot Rate 1–3 y spot t (1) 14–15 y spot t (7) 4–5 y spot t (2) 16–17 y spot t (8) 6–7 y spot t (3) 18–19 y spot t (9) 8–9 y spot t (4) 20–21 y spot t (10) 10–11 y spot t (5) 22–34 y spot t (15) 12–13 ... + y spot t (n) 2  n    + 100  1 + y spot t (2N ) 2  2N .(6) Equation (7) expresses the coupon necessary to sell a bond at par given the set of spot rates, y spot t (1) through y...

Ngày tải lên: 15/03/2014, 03:20