A repeat-sales index for pricing US corporate bonds

Pricing Emerging Market Corporate Bonds

1 Pricing Corporate Bonds with Risk Adjustable Default Barrier

This paper develops a corporate bond valuation model that incorporates a default barrier with dynamics depending on stochastic interest rates and variance of the corporate bond function. The volatility of the firm value affects the level of the barrier over time through the variance of the corporate bond function and its contribution to the barrier's dynamics is adjusted by a free parameter. We...

Pricing Covered Bonds

Covered bonds1 have emerged as a potentially preferred funding vehicle from the credit crisis, and they were already a major part of many European financial systems. Although some prices are directly available on, for example Bloomberg2, there is no detailed examination of how covered bonds should be priced taking into account the features that make them attractive to investors: i.e. over-colla...

Adjusting for Non-linear Age Effects in the Repeat Sales Index

A true constant quality real estate price index should measure the general change in price level free from any change in quality over time. In recent years, the repeat-sales method has been widely used to construct constant quality property price indices. Since buildings depreciate over time, a simple repeat-sales index would underestimate the growth in property prices. The major problem of con...

Euro Corporate Bonds Risk Factors ∗

This paper investigates the determinants of credit spread changes on bonds denominated in Euro. The analysis is carried out using a panel data on Euro bonds. We try to asses the relative importance of market and idiosyncratic factors in explaining the movements in credit spread. Because credit spread changes can be easily viewed as an excess return of corporate bonds over treasury, we adopt a f...