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Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis
(Springer, 2005-06)
In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an ...
Extracting Default Probabilities from Sovereign BondsExtracting Default Probabilities from Sovereign Bonds
(Sociedade Brasileira de Econometria, 2008)
Credit Spreads in Illiquid Markets: Model and Implementation
(ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2012)
This paper presents a methodology for estimating a family of credit spread term structures in a market with few transactions. The authors propose partitioning the market into risk classes and modeling credit spread term ...
Extracting default probabilities from sovereign bonds
(Sociedade Brasileira de Econometria, 2008-05-01)
Sovereign risk analysis is central in debt markets. Considering different bonds and countries, there are numerous measures aiming to identify the way risk is perceived by market participants. In such environment, probabilities ...
Aplicação de um modelo de intensidade para apreçamento de credit default swaps sobre emissor corporativo no Brasil
(2018-02-07)
Extensa literatura existe acerca de apreçamento de derivativos de crédito, em especial Credit Default Swaps, porém pouco foi discutido sobre o caso peculiar brasileiro, com convenções de taxas de juros e legislação ...
Modeling defaultable bonds with mean-reverting log-normal spread: a quasi closed-form solution
(Asociación Argentina de Mecánica Computacional, 2008-12)
In this paper we describe a two factor model for a defaultable discount bond, assuming a mean reverting log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplifying assumptions ...
Uma análise empírica do spread das companhias do setor de óleo e gás
(2010-05-26)
In this paper, we use the information from the credit default swap market to measure the main components of the oil and gas companies spread. Using nearly 20 companies of this industry with different ratings and nearly 80 ...
Sovereign Bond’s Credit Risk Immunization in a Tax Income Volatility Environment: The Case of a USD Denominated Mexican Bond.
(Universidad Autónoma Metropolitana (México). Unidad Azcapotzalco., 2012)
En este trabajo se utiliza el modelo de Merton (1976) de valuación de opciones y el modelo de volatilidad estocástica Heston-Nandi (2000) cuando el activo subyacente sigue un proceso de difusión con saltos para calcular ...
The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin America
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2007)
Defaults y rendimientos de bonos corporativos del sector financiero en los Estados Unidos (2000-2008)
(Universidad de San Andrés. Departamento de Economía, 2009)
Este estudio intenta desarrollar una manera de medir el riesgo y el rendimiento de las
diferentes sub-industrias del sector financiero en los Estados Unidos para el periodo
2000-2008. Asimismo, se estudia el impacto de ...