Download or read book Three Essays on Credit Risk Fixed Income and Derivatives written by Redouane Elkamhi and published by . This book was released on 2008 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Pricing of Fixed Income Securities with Credit Risk written by Xiaofei Li and published by . This book was released on 2004 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis studies the impacts of credit risk, or the risk of default, on the pricing of fixed income securities. It consists of three essays. The first essay extends the classical corporate debt pricing model in Merton (1974) to incorporate stochastic volatility (SV) in the underlying firm asset value and derive a closed-form solution for the price of corporate bond. Simulation results show that the SV specification for firm asset value greatly increases the resulting credit spread levels. Therefore, the SV model addresses one major deficiency of the Merton-type models: namely, at short maturities the Merton model is unable to generate credit spreads high enough to be compatible with those observed in the market. In the second essay, we develop a two-factor affine model for the credit spreads on corporate bonds. The first factor can be interpreted as the level of the spread, and the second factor is the volatility of the spread. Our empirical results show that the model is successful at fitting actual corporate bond credit spreads. In addition, key properties of actual credit spreads are better captured by the model. Finally, the third essay proposes a model of interest rate swap spreads. The model accommodates both the default risk inherent in swap contracts and the liquidity difference between the swap and Treasury markets. The default risk and liquidity components of swap spreads are found to behave very differently: first, the default risk component is positively related to the riskless interest rate, whereas the liquidity component is negatively correlated with the riskless interest rate; second, although default risk accounts for the largest share of the levels of swap spreads, the liquidity component is much more volatile; and finally, while the default risk component has been historically positive, the liquidity component was negative for much of the 1990s and has become positive since the financial market turmoil in 1998." --
Download or read book Three Essays on the Basis Risk of Fixed Income Securities written by Long Chen and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three essays can be regarded as studies on the basis risk of fixed income securities. They investigate the spreads among different bonds. The first essay, Market Risk and Credit Risk in a General Equilibrium Model, assumes perfect liquidity and focuses on the credit spread. By incorporating credit risk into the standard asset pricing models, it provides one of the first studies on how credit spread relates to market risk, including equity risk, interest risk, and inflation risk. The second essay, Illiquidity and Expected Return of Treasury Securities, focuses on Treasury bonds with zero default risk. The yield spreads among the bonds are solely due to liquidity difference. We derive, quantitatively, how this spread is related to the bid-ask spread, brokerage fee, bond maturity, and investors? expected holding period. It is one of the first theoretical models on the liquidity of treasury securities. The third essay, An Indirect Estimation of the Transaction Costs of Corporate Bonds, is an empirical estimation of the transaction costs of corporate bonds. It is observed that bonds with less liquidity tend to be the ones with lower credit rating quality. Liquidity risk and credit risk are thus intertwined. We are able to separate their effects and obtain estimates for liquidity spreads and credit spreads. In summary, the first essay studies credit risk; the second studies liquidity risk, and the third, as an empirical study, investigates both issues. They jointly contribute to the understanding of the basis risk of fixed income securities.
Download or read book Three Essays on the Basis Risk of Fixed Income Securities microform written by Chen, Long, 1969 June 27- and published by National Library of Canada = Bibliothèque nationale du Canada. This book was released on 2001 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Derivatives written by Don M. Chance and published by Wiley. This book was released on 2009-04-22 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Download or read book Three Essays on the Basis Risk of Fixed Income Securities written by 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 Essays on Pricing of Derivatives with Interest Rate Credit and Equity Risks written by Ravi Shanker Mateti and published by . This book was released on 2007 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: Then we show how the Das and Sundaram model can be extended to price convertible bonds which have a peculiar conversion feature; these bonds are convertible not into the stock of the bond issuer, but into the stock of a different company. We also test the empirical performance of this extended model.
Download or read book Three Essays on Credit Risk with Special Focus on the Subprime Financial Crisis written by Bastian Breitenfellner and published by . This book was released on 2012 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Portfolio Management and Credit Risk written by Andriy Demchuk and published by . This book was released on 2003 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Five Essays on Fixed Income and Credit Risk written by Søren Villemand Nielsen and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Credit Risk written by Gordon Delianedis and published by . This book was released on 2000 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in the Theory of Credit Risk written by Clemens Mueller and published by . This book was released on 2000 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Credit Risk written by Georg Bol and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: New developments in measuring, evaluating and managing credit risk are discussed in this volume. Addressing both practitioners in the banking sector and resesarch institutions, the book provides a manifold view on one of the most-discussed topics in finance. Among the subjects treated are important issues, such as: the consequences of the new Basel Capital Accord (Basel II), different applications of credit risk models, and new methodologies in rating and measuring credit portfolio risk. The volume provides an overview of recent developments as well as future trends: a state-of-the-art compendium in the area of credit risk.
Download or read book Credit Risk Modeling Valuation and Hedging written by Tomasz R. Bielecki and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.
Download or read book Three Essays in Financial Economics written by Eric Neis and published by . This book was released on 2006 with total page 618 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Derivatives Pricing written by Robert A. Jarrow and published by World Scientific. This book was released on 2008 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous HeathOCoJarrowOCoMorton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Download or read book Credit Risk Modeling written by David Lando and published by Princeton University Press. This book was released on 2009-12-13 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.
