default risk and bond pricing

The relationship between default risk and interest rates: An empirical study research insight

The relationship between default risk and interest rates: An empirical study research insight
Ngày tải lên : 26/10/2012, 11:21
... between default rate and real interest rates Longstaff and Schwartz (1995) develop a simple approach to valuing risky corporate debt that incorporates both default and interest rate risk, and test ... quality bonds and significant for low quality bonds Duffee also test the correlation between callable bonds and interest rates using Moody’s and Lehman Brothers bond indices Callable bonds show ... Moody’s Risk Advisor, Moody’s KMV RiskCalc, RiskAnalyst, RiskFrontier, Expected Default Frequency, and EDF are trademarks or registered trademarks owned by MIS Quality Management Corp and used...
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liquidity risk and asset pricing

liquidity risk and asset pricing
Ngày tải lên : 02/11/2014, 00:43
... Copeland and Galai (1983), Kyle (1985), Glosten and Milgrom (1985)), and needs for immediate trading (Demsetz (1968), Tinic (1972), Stoll (1978), Ho and Stoll (1980), Cohen, Maier, Schwartz, and ... risk factor (Pastor and Stambaugh (2003), Sadka (2004), Acharya and Pedersen (2005)) This dissertation consists of three essays devoted to investigating the effect of liquidity risk on asset pricing ... Leftwich, and Mayers (1991), Keim (2004), Lesmond, Schill, and Zhou (2004), Korajczyk and Sadka (2004)) and it has a significant implication for portfolio diversification strategies (Domowitz and Wang...
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Tài liệu THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS, BOND YIELDS, AND CREDIT RATING ANNOUNCEMENTS ppt

Tài liệu THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS, BOND YIELDS, AND CREDIT RATING ANNOUNCEMENTS ppt
Ngày tải lên : 16/02/2014, 03:20
... that par yield bonds stay par yield bonds By defining the corporate bond used in the arbitrage as a par corporate floating bond and the riskless bond as a par floating riskless bond we can avoid ... holders of these bonds are prepared to sell the bonds, buy riskless bonds, and sell default protection when s > y − r The argument assumes that market participants can short riskless bonds This is ... a riskless bond, short a corporate bond and sell the credit default swap If s is less than y − r, the arbitrageur will find it profitable to buy a corporate bond, buy the credit default swap and...
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Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot

Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot
Ngày tải lên : 06/03/2014, 04:21
... without default, typically representing the information flow of interest rates, intensities and possibly other default- free market quantities (see Bielecki and Rutkowski (2001)), and E denotes the risk- neutral ... Rutkowski M (2001), Credit risk: Modeling, Valuation and Hedging Springer Verlag [3] Blanchet-Scaillet, C., and Jeanblanc, M (2001) Hazard rate for credit risk and hedging defaultable contingent ... rates and default by means of a stochastic intensity that will be correlated with the short rate 2.1 Pricing and calibrating CDS with deterministic intensity models Consider the CDS payoff (1) and...
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Measurement, Monitoring, and Forecasting of Consumer Credit Default Risk – An Indicator Approach Based on Individual Payment Histories doc

Measurement, Monitoring, and Forecasting of Consumer Credit Default Risk – An Indicator Approach Based on Individual Payment Histories doc
Ngày tải lên : 29/03/2014, 03:21
... the risk involved by accepted sales on credit, more diversified risk strategies lead to a range of classes and interventions, accompanied by risk- based pricing, adjustment of payment terms and risk- adjusted ... of credit default and default events apply to banks as well, especially to the retail sector SCHUMPETER DISCUSSION PAPERS 2011-004 hand The comparison of predicted and actual default risks requires ... existing definitions of default events and summarize their general characteristics 3.1 The need for defining the credit default event In contrast to default risk in general and the statistical techniques...
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amihud et al - market liquidity; asset pricing, risk, and crises (2013)

amihud et al - market liquidity; asset pricing, risk, and crises (2013)
Ngày tải lên : 01/11/2014, 11:14
... SECURITIES PRICES AND RETURNS Introduction and Overview 1 Asset Pricing and the Bid–Ask Spread Summary and Implications Article by Yakov Amihud and Haim Mendelson Liquidity, Maturity, and the Yields ... on the effects of the liquidity of stocks and bonds on their returns and values, and the design and evaluation of securities markets’ trading methods and systems On these topics, Professor Amihud ... Haim Mendelson, and Beni Lauterbach 69 72 PART II LIQUIDITY RISK Introduction and Overview 101 Illiquidity and Stock Returns: Cross-Section and Time-Series Effects 105 110 Summary and Implications...
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FM11 Ch 05 Risk and Return_ Portfolio Theory and Asset Pricing Models

FM11 Ch 05 Risk and Return_ Portfolio Theory and Asset Pricing Models
Ngày tải lên : 06/04/2015, 19:41
... What is the relationship between standalone, market, and diversifiable risk σ2 j = b2 σ + σ e2 j M j σ = variance j = stand-alone risk of Stock j b2 σ = market risk of Stock j j M σ e2 = variance ... Attainable Portfolios with Risk- Free Asset (Expected risk- free return = 5%) Attainable Set of Risk/ Return Combinations with Risk- Free Asset Expected return 15% 10% 5% 0% 0% 5% 10% Risk, σp 15% 20% Expected ... return of 10 percent and a standard deviation of 20 percent Asset B has an expected return of 16 percent and a standard deviation of 40 percent If the correlation between A and B is 0.6, what are...
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Pricing of convertible bonds with credit risk and stochastic interest rate

Pricing of convertible bonds with credit risk and stochastic interest rate

Ngày tải lên : 16/10/2015, 12:00
... the subject Pricing of convertible bond with credit risk and stochastic interest rate 17 HULL AND WHITE MODEL IN BOND PRICING 2.1 HJM Model 2.1.1 Definition and value of a zero coupon bond HJM is ... for initiating lmdif Pricing of convertible bond with credit risk and stochastic interest rate 36 PRICING MODEL OF CONVERTIBLE BONDS 4.1 Convertible bonds with credit risk and stochastic interest ... risk- free rate The risk- free rate is just the spot rate Pricing of convertible bond with credit risk and stochastic interest rate 41 Choose Vr − Δ1Vr1 = and Vs − Δ − Δ1Vs1 = , i.e Δ1 = Vr V and...
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Báo cáo y học: "Risk and Benefit of Drug Use During Pregnancy"

Báo cáo y học: "Risk and Benefit of Drug Use During Pregnancy"
Ngày tải lên : 02/11/2012, 11:12
... doctors and is partly understandable They may not be well informed and may exaggerate the risk by relying on manufacturers drug pamphlets They may also be thinking about possible law suits and are ... proportion of women treated with drugs with high and moderate teratogenic risk during the study pregnancy was 0.8% and 0.4% in the group of cases with CAs and controls without CAs in the data set of ... posterior cleft palate and hypospadias covers the 12th-14th and 14th-16th weeks of gestation, while the critical period of undescended testis and patent ductus arteriosus is to months and to 10 months,...
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Managing Information Risk and the Economics of Security

Managing Information Risk and the Economics of Security
Ngày tải lên : 18/10/2013, 17:15
... credit and debit transfers, e-money, and stored-value transactions) and for all points on the payments Nonbanks and Risk in Retail Payments 19 chain (hardware and software provision, consumer and ... Technology and Policy Adoption, Combating Cybercrime, Privacy and Trust Information Risk and the Economics of Security presents the latest research on the economics driving both the risks and the ... information risk A communication strategy helps the organization quickly recognize and understand economically driven risks Often this involves embedding information risks into an overall risk communication...
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Tài liệu The perception of time, risk and return during periods of speculation pptx

Tài liệu The perception of time, risk and return during periods of speculation pptx
Ngày tải lên : 12/12/2013, 14:15
... hypotheses—that similar risks demand similar returns, and that short-term investors look at risk and return in terms of intrinsic time—leads to alternative relationships between risk and return In the ... invariance principle and its consequences 2.1 A stock’s risk and return Suppose the market consists of (i) a single risk- free bond B of price B that provides a continuous riskless return r, and (ii) the ... can again create a portfolio V ˜ and 1−w shares of the riskless bond consisting of w shares of P B, choosing w so that V and S have the same intrinsic-time risk, and, therefore, the same intrinsic-time...
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Tài liệu Applications of Robotics and Artificial Intelligence to Reduce Risk and Improve Effectiveness pdf

Tài liệu Applications of Robotics and Artificial Intelligence to Reduce Risk and Improve Effectiveness pdf
Ngày tải lên : 13/12/2013, 01:15
... power and control to the hand If standards were defined, quick-change mechanisms and a family of hand grippers and robot tools would rapidly become available The development of a dexterous hand ... but rather in understanding and standardizing the interface requirements These issues and others were covered at a National Bureau of Standards (NBS) workshop in January 1980 and again in September ... the hands attached to a robot seeks to improve dexterity, enabling robots to handle a variety of parts or tools in complex situations Two goals are the quick-change hand and the dexterous hand...
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Chapter 12 Monopoly POWER AND FIRM PRICING DECISIONS

Chapter 12 Monopoly POWER AND FIRM PRICING DECISIONS
Ngày tải lên : 17/12/2013, 15:19
... the market demand curve (columns and 2) Graphically, the marginal revenue curve lies below the demand curve, and its distance from the demand curve Chapter 12 Monopoly Power and Firm Pricing Decisions ... aimed at increasing the demand for the goods and Chapter 12 Monopoly Power and Pricing Decisions services being produced But demands are also affected by other factors, and many of them are beyond ... crossed the fixed vertical supply of land which means the owner would have to charge the competitive price (where the demand for the land and the supply of the land came together) You might think...
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the risk and term structure of interest rates

the risk and term structure of interest rates

Ngày tải lên : 05/01/2014, 16:56
... government bonds are considered default free • Risk premium - the spread between the interest rates on bonds with default risk and bonds without default risk Response to an Increase in Default Risk ... looks at the relationship among interest rates on bonds with different terms to maturity Default Risk • Default risk - occurs when the issuer of the bond is unable or unwilling to make interest payments ... Risk and Term Structure of Interest Rates • The risk structure of interest rates looks at bonds with the same term to maturity and different interest rates • The...
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Tài liệu INTEREST RATE SWAPS: RISK AND REGULATION pdf

Tài liệu INTEREST RATE SWAPS: RISK AND REGULATION pdf
Ngày tải lên : 15/02/2014, 05:20
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Tài liệu An Empirical Decomposition of Risk and Liquidity in Nominal and Inflation- Indexed Government Bonds pptx

Tài liệu An Empirical Decomposition of Risk and Liquidity in Nominal and Inflation- Indexed Government Bonds pptx
Ngày tải lên : 16/02/2014, 02:20
... inflation risk will impact their risk premia (Campbell and Viceira 2001) Campbell, Sunderam, and Viceira (2010) provide a model, in which inflation risk and real interest rate risk vary over time and ... variation in bond excess returns In addition to cash flow risk, institutional factors and trading frictions might also impact bond prices and bond risk premia For any investor the riskless asset ... premium, and 6% of the variance by a time-varying real interest rate risk premium We find that both inflation risk premia and real rate risk premia are present in nominal bond returns and explain 3% and...
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Tài liệu Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.: Interest Rate Risk and Bank Equity Valuations doc

Tài liệu Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.: Interest Rate Risk and Bank Equity Valuations doc
Ngày tải lên : 17/02/2014, 03:20
... example, DeYoung and Roland [2001] and Stiroh [2004] In what follows, we refer to both BHCs and commercial banks simply as “banks” and note the distinction between a holding company and an individual ... Variable Mean Repricing/maturity – Repricing/maturity – liabilitiesb Assets without repricing informationc Liabilities without repricing informationd Savings depositsd Demand and transaction ... example, by Gorton and Rosen [1995], Choi and Elyasiani [1997] and Purnanandam [2007], banks can, and in many cases do, actively use derivatives to alter their 21 interest rate risk profile Banks...
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Addressing Air Emissions from the Petroleum Refinery Sector Risk and Technology Review and New Source Performance Standard Rulemaking pptx

Addressing Air Emissions from the Petroleum Refinery Sector Risk and Technology Review and New Source Performance Standard Rulemaking pptx
Ngày tải lên : 05/03/2014, 11:20
... Units, and Sulfur Recovery Units Risk and Technology Review (RTR) ► ► 2007 proposed Risk and Technology Review amendments for non-combustion sources 2009 withdrew amendments related to risk review ... ecosystems and wildlife, climate change health risk to sensitive populations 18 Basics of Risk and Technology Review ► Risk Review ► CAA Section 112 (f)(2) requires EPA to review the MACT standard ... MACT and - Propose and promulgate RTR amendments and evaluate whether additional rule revisions are necessary Respond to issues raised in litigation and petitions 12 Refinery Processes and Emissions...
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Sap Solutions For Governance Risk And Compliance And Grc Access Control 3 doc

Sap Solutions For Governance Risk And Compliance And Grc Access Control 3 doc
Ngày tải lên : 05/03/2014, 19:20
... & D Risk Rule Risk Rule Risk Rule Risk Rule Risk Rule Risk Rule Risk Rule Risk Rule Risk Rule Risk Rule “n” Risk Rule 10 Risk Rule 11 Risk Rule 12 Risk Rule 13 Risk Rule 14 Risk Rule 15 Risk ... Access Control Risk Analysis and Remediation Functionality Risk analysis and remediation functionality Risk- analysis, detection and remediation of SOD-violations in access control and authorization ... Remediation Getting Clean Initial Risk Analysis and Remediation Facilitates collaboration between Business and IT to clean up access risks Risk Identification Risk Elimination Reporting Prevention...
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