Perpetual convertible bonds with credit risk potx

... −bφ  1 (b)) . Furthermore, define F : R >0 → R by 19 Perpetual convertible bonds with credit risk Christoph K¨uhn ∗ Kees van Schaik ∗ Abstract A convertible bond is a security that the holder can ... Journal of 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. Zh...

Ngày tải lên: 22/03/2014, 18:20

... December). Pricingconvertible bonds with default risk. Journal of Fixed Income 11, 20–29. Tsiveriotis, K. and C. Fernandes (1998, September). Valuing convertible bonds with credit risk. Journal of ... 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 presents our framewo...

Ngày tải lên: 15/03/2014, 03:20

... 3–21. Tsiveriotis, K. and C. Fernandes (1998). Valuing convertible bonds with credit risk. The Journal of Fixed Income 8, 95–102. 23 A Details of the Convertible Bonds Ahold 3% Ahold 4% ASML Issue price 100% ... reverse convertible bonds. In this paper we will discuss the pricing of convertible bonds with hard call features. A hard call feature allows the issuer of a co...

Ngày tải lên: 15/03/2014, 03:20

... generation models for convertible bonds with credit risk. Wilmott Magazine, pages 68–77, December 2002. [AKW01] Manuel Ammann, Axel Kind, and Christian Wilde. Are convertible bonds under- priced? an analysis ... method. 1 Introduction Convertible bonds (or convertibles) have become an important instrument in the financial markets. Having properties of both stocks and bonds,...

Ngày tải lên: 06/03/2014, 04:20

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

Ngày tải lên: 06/03/2014, 04:21

... larger in the subsample of bonds with a low credit rating relative to the subsample of AAA bonds. This suggests that off-the-run credit- risky bonds have to re- ward their holders with an additional yield, ... the risk- free interest rate is always negatively related to the spread levels, in line with Duffee (1999). The relationship is more marked for firms with a low credit...

Ngày tải lên: 06/03/2014, 08:20

... 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., ... termed “extreme credit risk in these contexts. Clearly, precise mathematical models for the loss in a portfolio of dependent credit risks are needed to adequately measure this ris...

Ngày tải lên: 15/03/2014, 04:20

... bonds that trade in 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 ... that even with a small amount of estimation risk, a Bayesian investor would invest a reasonably large portion of his portfolio in foreign corporate bonds. To put these weights i...

Ngày tải lên: 16/02/2014, 02:20

... !  !        34 WORKING PAPER NO 13 CREDIT RISK TRANSFER AND FINANCIAL SECTOR PERFORMANCE Wolf Wagner & Ian Marsh ... substantial revision. Accordingly, a Working Paper should not be quoted nor the data referred to without the written consent of the author. All rights reserved. © 2004 Wolf Wagner

Ngày tải lên: 06/03/2014, 08:20

... spreads (or credit- risk prices) should incorporate the credit- risk information in a similar way, i.e., both markets should be equally efficient in terms of the process of credit- risk price discovery. ... result is in line with the role of the bond market as an appropriate credit- risk measure in crisis peri-This result is in line with the role of the bond market as an appr...

Ngày tải lên: 15/03/2014, 07:20