The Valuation of Convertible Bonds With Credit Risk ppt

... default. The equity component of the convertible bond is, by definition, zero. A fraction of the bond value of the convertible is recovered. In the case of total default with a recovery factor of zero, ... default) since the equity part of the convertible is discounted at the risk free rate. Of course, we can extend their model to handle other assumption...

Ngày tải lên: 15/03/2014, 03:20

... comprehensive analysis of interesting features of convertible bonds. Especially they model the interplay between equity risk and credit ∗ Frankfurt MathFinance Institute, Johann Wolfgang Goethe-Universit¨at, ... (i) and the general theory on ODEs that the initial value problem consisting of the first two lines of system (3.7), so without the condition f(0+) = 0, admits...

Ngày tải lên: 22/03/2014, 18:20

... strategy of the bondholder. This max-min strategy of the bondholder leads to the lower value of the convertible bond, whereas the min-max strategy of the issuer leads to the upper value of the convertible bond. ... selection of the minimum or maximum of the volatility for the valuation depends on the convexity of the valuation function. Moreov...

Ngày tải lên: 06/03/2014, 08:20

... or more bonds. The cost of these procedures is that they place constraints on the shape of the yield curve. We used Moodys categories where they existed to classify bonds. Otherwise we used the equivalent ... in Table VIII, the longer the maturity of the bond, the more significant the pricing error becomes. For bonds with coupons below the average coupon in a...

Ngày tải lên: 06/03/2014, 08:20

... 110% and 120% of the baseline estimates. Higher dividend payments reduce the value of the convertible bond. The reductions of the values of the convertible bonds due to an increase of the dividend ... otherwise, we use this set of 36 observations to assess the fit of the theoretical values to the observed prices. In Figures 8-9, we graph the average pr...

Ngày tải lên: 15/03/2014, 03:20

... in the United Kingdom. 13 The results of this phase of the study are set out in Section 5 of this report. Section 6 provides an analysis of the implications of the two empirical components of the ... Distinguishing between types of B2B e-commerce One consequence of focusing on the business dimensions of B2B e-commerce from the point of view of the users...

Ngày tải lên: 14/02/2014, 04:20

... There are also a number of disadvantages. Many of the basic inputs to the KMV model ± the value of the ®rm, the volatility and the expected value of the rate of return on the ®rmÕs assets ± cannot ... generating credit risk. Conversely, if the probability of de- fault unexpectedly changes ± generating credit risk ± this aects the market value of the...

Ngày tải lên: 15/03/2014, 04:20

... poor when the initial C/N ratio was low. There was no difference in the changes of C/N ratio in the compost pile with the same initial C/N ratio with or without p.d. 1 (Figure 8). These results ... C/N. At the end of composting, the percentage of total K in pile 3 and pile 6 were also lower than those of the other piles (1.41 % and 1.58 %, respectively) indicat...

Ngày tải lên: 05/09/2013, 09:08

... In the sunlight the silvery-yellow feathering and the metallic sheen of trunk and branches make the yellow birch one of the most attractive trees of the New England forest. Bark.—Bark of trunks ... drooping at the ends. Conspicuous in winter by the airy lightness of the narrow open head and by the contrast of the white trunk with the dark spray; in su...

Ngày tải lên: 13/02/2014, 12:20

... www.gpwsi.org). Rationale for GPwSI service in sexual health The risk of unwanted pregnancy and the risk of sexually transmitted infections are often associated with each other. Evidence showing associations between ... links with others working in the same clinical area in primary care, at PCT level and in acute trusts The GPwSI will be accountable to the PCT Board wit...

Ngày tải lên: 14/02/2014, 21:20