Search Results - subject:"defaultable bond"

Downside risk and defaultable bond returns

Liang, Xinting; Yang, Baochen; Su, Yunpeng; An, Yunbi - In: Journal of management science and engineering 6 (2021) 1, pp. 99-110

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond … downside risk increases significantly. We also investigate the predictive power of downside risk in cross-sectional defaultable … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong …

Persistent link: https://www.econbiz.de/10013206142

Quantile hedging in a defaultable market with life insurance applications

Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 248-265

Persistent link: https://www.econbiz.de/10012500262

Study of Consistency of Bond and CDS Quotes

Kurbangaleev, Marat; Lapshin, Victor; Smirnov, Sergey N. - National Research University Higher School of Economics - 2015

In this paper, we study the consistency of bonds and CDS quotes data within a widely accepted credit risk pricing framework, allowing for non-trivial term structures of risk-free interest rates and default intensities. We propose an approach to test this consistency and a procedure to deal with...

Persistent link: https://www.econbiz.de/10011227894

Contagion and bond pricing : the case of the ASEAN region

Abid, Ilyes; Dhaoui, Abderrazak; Goutte, Stéphane; … - In: Research in international business and finance 47 (2019), pp. 371-385

Persistent link: https://www.econbiz.de/10012135753

Valuation of credit default swaps via Bessel bridges

del Valle, Gerardo Hernández; Pacheco-González, Carlos - 2014

A credit default swap (CDS) is a financial contract in which the holder of the instrument will be compensated in the event of a loan default. When available, CDS's are used to monitor the credit risk of countries and companies. In this work we develop a closed form procedure to value a CDS in...

Persistent link: https://www.econbiz.de/10011445068