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Konstruktion einer Anleihe mit hypothekarischer Besicherung

Alram, Johannes - 2009

This work describes the legal structuring of a mortgage covered bond in accordance with the regulations of paragraphs … rights of the bond holders according to the regulations of the German Statue Governing Common Rights of Owners of Debt … Securities (Schuldverschreibungsgesetz). Furthermore, the work describes how the bond creditors shall have preferences of the …

Persistent link: https://www.econbiz.de/10010298959

Exploring the CDS-Bond Basis

De Wit, Jan - 2006

. Nonetheless, the average CDS-bond basis (i.e. the difference between both measures) is positive in the period 2004-2005. We detect …

Persistent link: https://www.econbiz.de/10011506625

Bond portfolios and two-fund seperation in the Lucas asset-pricing model

Judd, Kenneth L; Kubler, Felix - 2006

, often significantly, from two-fund separation even with the classical preference assumptions. Furthermore, equilibrium bond … transaction costs. We demonstrate that investors choosing two-fund portofolios with bond ladders that approximately replicate … considerations make portofolios using two-fund separation and bond laddering nearly optimal investment strategies. …

Persistent link: https://www.econbiz.de/10010266289

Duration & Dimension

Hallerbach, Winfried G. - 1999

relies on the interpretation of duration as (minus) theyield elasticity of the bond price, duration ismeasured as a bond …

Persistent link: https://www.econbiz.de/10010324570

An empirical analysis of the financing strategy of callable bonds

Ryu, Keunkwan; Wee, Jung Bum - 2001

This paper empirically analyzes the call timing of callable bonds to see how refunding opportunity, cost of financial distress, agency cost of debt, and private information affect the call decision. The empirical results show that firms issue callable bonds, convertible or not, to enjoy future...

Persistent link: https://www.econbiz.de/10010332329

The bond premium in a DSGE model with long-run real and nominal risks

Rudebusch, Glenn D.; Swanson, Eric T. - 2008

macroeconomics is far too small and stable relative to empirical measures obtained from the data - an example of the "bond premium …

Persistent link: https://www.econbiz.de/10011506664

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2014

The dynamic behaviour of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...

Persistent link: https://www.econbiz.de/10011605677

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...

Persistent link: https://www.econbiz.de/10010368212

A note on the valuation of risky corporate bonds

Schöbel, Rainer - 1997

Simple formulas for the price of corporate discount and coupon bonds are found using the Longstaff and Schwartz valuation approach for the debt claims of a firm, where default is triggered by a special State variable: the firm's asset-to-debt-ratio. Instead of keeping the total amount of debt...

Persistent link: https://www.econbiz.de/10010435546

Game-theoretical, Strategic forward Contracting in the Electricity Market

Holmberg, Pär - 2008

Forward sales is a credible commitment to aggressive spot market bidding, and it mitigates producers' market power in electricity markets. Still it can be profitable for a producer to make such a commitment if it results in a soft response from competitors in the spot market (strategies are...

Persistent link: https://www.econbiz.de/10010320246