Implications of Correlated Default for Portfolio Allocation to Corporate Bonds
نویسندگان
چکیده
منابع مشابه
1 Pricing Corporate Bonds with Risk Adjustable Default Barrier
This paper develops a corporate bond valuation model that incorporates a default barrier with dynamics depending on stochastic interest rates and variance of the corporate bond function. The volatility of the firm value affects the level of the barrier over time through the variance of the corporate bond function and its contribution to the barrier's dynamics is adjusted by a free parameter. We...
متن کاملIs Default Event Risk Priced in Corporate Bonds?
We identify and estimate the sources of risk that cause corporate bonds to earn an excess return over default-free bonds. In particular, we estimate the risk premium associated with a default event. Default is modelled using a jump process with stochastic intensity. For a large set of firms, we model the default intensity of each firm as a function of common and firm-specific factors. In the mo...
متن کاملApproaches to Risk Measurement for Portfolio of Bonds & Credit Default Swaps
In our project we have used parametric simulation and filtered historical simulation by GARCH processes to model the future position on a portfolio of some actively trading S&P bonds and related credit default swaps. The portfolio is marked to market daily based on the daily prices and CDS spreads over a seven year period. The Credit default swaps are priced daily based on the shifts in the def...
متن کاملA hybrid model for estimating the probability of default of corporate customers
Credit risk estimation is a key determinant for the success of financial institutions. The aim of this paper is presenting a new hybrid model for estimating the probability of default of corporate customers in a commercial bank. This hybrid model is developed as a combination of Logit model and Neural Network to benefit from the advantages of both linear and non-linear models. For model verific...
متن کاملa benchmarking approach to optimal asset allocation for insurers and pension funds
uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.327840