Download or read book Pricing Convertible Bonds with Credit Risk and Liquidity Risk written by 許典玉 and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Handbook of Convertible Bonds written by Jan De Spiegeleer and published by Wiley. This book was released on 2011-03-14 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a complete guide to the pricing and risk management of convertible bond portfolios. Convertible bonds can be complex because they have both equity and debt like features and new market entrants will usually find that they have either a knowledge of fixed income mathematics or of equity derivatives and therefore have no idea how to incorporate credit and equity together into their existing pricing tools. Part I of the book covers the impact that the 2008 credit crunch has had on the markets, it then shows how to build up a convertible bond and introduces the reader to the traditional convertible vocabulary of yield to put, premium, conversion ratio, delta, gamma, vega and parity. The market of stock borrowing and lending will also be covered in detail. Using an intuitive approach based on the Jensen inequality, the authors will also show the advantages of using a hybrid to add value - pre 2008, many investors labelled convertible bonds as 'investing with no downside', there are of course plenty of 2008 examples to prove that they were wrong. The authors then go onto give a complete explanation of the different features that can be embedded in convertible bond. Part II shows readers how to price convertibles. It covers the different parameters used in valuation models: credit spreads, volatility, interest rates and borrow fees and Maturity. Part III covers investment strategies for equity, fixed income and hedge fund investors and includes dynamic hedging and convertible arbitrage. Part IV explains the all important risk management part of the process in detail. This is a highly practical book, all products priced are real world examples and numerical examples are not limited to hypothetical convertibles. It is a must read for anyone wanting to safely get into this highly liquid, high return market.
Download or read book A Simple and Precise Method for Pricing Convertible Bond with Credit Risk written by Tim Xiao and published by . This book was released on 2019 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a new model for valuing hybrid defaultable financial instruments, such as, convertible bonds. In contrast to previous studies, the model relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is usually inaccessible. As such, the model can back out the market prices of convertible bonds. A prevailing belief in the market is that convertible arbitrage is mainly due to convertible underpricing. Empirically, however, we do not find evidence supporting the underpricing hypothesis. Instead, we find that convertibles have relatively large positive gammas. As a typical convertible arbitrage strategy employs delta-neutral hedging, a large positive gamma can make the portfolio highly profitable, especially for a large movement in the underlying stock price.
Download or read book Pricing and Hedging Credit Risk in Convertible Bonds written by and published by . This book was released on 1999 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Pricing and Hedging of Convertible Bonds with Credit Risk written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investing in Corporate Bonds and Credit Risk written by F. Hagenstein and published by Springer. This book was released on 2004-10-01 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investing in Corporate Bonds and Credit Risk is a valuable tool for any corporate bond investor. All the most recent developments and strategies in investment in corporate bonds are analyzed included with qualitative and quantitative approaches. A complete and up-to-date investment process is developed through the book, using many examples taken from banking practice. The growing significance of derivative instruments and credit diversification to bond investors is also analyzed in detail.
Download or read book Credit Spread Implied by Convertible Bonds Prices written by Alon Raviv and published by . This book was released on 2006 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although many credit risk models exist in the academic literature, little attention has been paid to the measurement of credit spread, which is an important input in most of those models.When a reference entity has not issued any straight bond it becomes impossible to calculate credit spread and consequently to exploit credit risk models. This article derives a method for measuring the credit spread implied by convertible prices using Tsiveriotis and Fernandes (1998) model, which account for the influence of credit spread on the convertible value. This approach allows measuring the credit spread in cases where a reference entity has issued convertible bonds and not straight bonds.The spread between a corporate bond and a default free bond is driven to a considerable extent by credit risk, but also the liquidity premium has a great impact on that spread. Using the suggested method in cases where company's convertible bonds are significantly more liquid than its straight bonds may lead to a more accurate measurement of the credit spread.In this paper we also elaborate and present more abstract way Hull (2000) numerical scheme for pricing convertible bonds according to Tsiveriotis and Fernandes (1998) model. Numerical example is provided to show how to calibrate the pricing model and to illustrate the calculation of the implied credit spread.
Download or read book Pricing convertible bonds with equity interest and credit risk written by Priyesh K. Patel and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Pricing Euro convertible Bonds with Credit Risk written by Tai En Wu and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Handbook of Hybrid Securities written by Jan De Spiegeleer and published by John Wiley & Sons. This book was released on 2014-05-19 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess characteristics of both, and carry unique risks that cannot be ignored, but are often woefully misunderstood. The first and only book of its kind, The Handbook of Hybrid Securities dispels the many myths and misconceptions about hybrid securities and arms you with a quantitative, practical approach to dealing with them from a valuation and risk management point of view. Describes a unique, quantitative approach to hybrid valuation and risk management that uses new structural and multi-factor models Provides strategies for the full range of hybrid asset classes, including convertible bonds, preferreds, trust preferreds, contingent convertibles, bonds labeled "additional Tier 1," and more Offers an expert review of current regulatory climate regarding hybrids, globally, and explores likely political developments and their potential impact on the hybrid market The most up-to-date, in-depth book on the subject, this is a valuable working resource for traders, analysts and risk managers, and a indispensable reference for regulators
Download or read book Pricing Convertible Bonds with Interest Rate Equity Credit and FX Risk written by Ali Bora Yigitbasioglu and published by . This book was released on 2003 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing convertible bonds poses numerical challenges that are not easily overcome. We present a quasi five-factor model with interest rate, equity, credit, currency, and local volatility risk. This is implemented using unconditionally stable PDE methods. We extend a method to address credit risk, and propose a means to deal with cross-currency convertibles. A procedure for extracting the price of vanilla options struck on foreign stock in domestic currency is employed to obtain local volatility. This is useful for pricing primary issue and secondary market convertibles whose maturities may be spanned by the currency and equity options markets. We facilitate numerical convergence with Wolfe's (1959) quadratic minimization algorithm, which assists in smoothening local volatility. Coupons, dividends, calls/puts, and reset clauses are easily accommodated. We allow a functional relationship between stock price and credit spread, to capture the negative correlation between spreads and equity.
Download or read book Innovations in Derivatives Markets written by Kathrin Glau and published by Springer. This book was released on 2016-12-02 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.
Download or read book The Handbook of Fixed Income Securities Chapter 60 Convertible Securities and Their Valuation written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Download or read book Credit Risk and Convertible Bond Pricing written by Judy May-Wai Ho and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Pricing Inflation Indexed Convertible Bonds with Credit Risk written by Yoram Landskroner and published by . This book was released on 2008 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Issuing convertible bonds has become a popular way of raising capital by corporations in the last few years. An important subgroup is convertibles linked to a price index or exchange rate.The valuation model of inflation-indexed (or equivalently foreign-currency) convertible bonds derived in this paper considers two sources of uncertainty allowing both the underlying stock and the consumer-price-index to be stochastic and incorporates credit risk in the analysis. We approximate the pricing equations by using a Rubinstein (1994) three-dimensional binomial tree, and we describe the numerical solution. We investigate the sensitivity of the theoretical values with respect to the characteristics of the issuer, the economic environment and the security s characteristics (number of principal payments). Moreover, we demonstrate the usefulness and the limitations of the pricing model by using inflation-indexed and foreign-currency linked convertibles traded on the Tel- Aviv stock exchange.
Download or read book Pricing Convertible Bonds with Dividend Protection Sugjet to Credit Risk Using a Numerical PDE Approach written by Qingkai Mo and published by . This book was released on 2006 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Price Analysis and Risk Management for Convertible Bonds written by Fuminobu Ohtake and published by . This book was released on 1998 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
