Pricing of zero-coupon and coupon cat bonds
نویسندگان
چکیده
منابع مشابه
Risky coupon bonds as a portfolio of zero-coupon bonds
This paper characterizes conditions under which a risky coupon bond is equivalent to a portfolio of risky zero-coupon bonds. This characterization is extended to enable the estimation of firm specific zero-coupon bond prices from risky coupon bond prices for the determination of firm specific credit risk curves. 2004 Elsevier Inc. All rights reserved.
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Duration and convexity are important measures in fixed-income portfolio management. We have derived closed-form expressions for duration and convexity of zero-coupon convertibles, incorporating the impact of default risk, conversion option, and subordination. The overall effect is to shorten duration, while the effect on convexity is ambiguous. Both measures were found to be very different from...
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Structural models for valuing corporate bonds (beginning with Merton (1974)) have been criticised for giving spreads which are (a) too small and (b) have a term structure in which spreads diminish with extra time to maturity. Empirical tests of models are hampered by the complexity of real-world bonds, which have coupons, calls and sinking funds, and also by the complicated and changing capital...
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Structural models for valuing corporate bonds (beginning with Merton (1974)) have been criticised for giving spreads which are (a) too small and (b) have a term structure in which spreads diminish with extra time to maturity. Empirical tests of models are hampered by the complexity of real-world bonds, which have coupons, calls and sinking funds, and also by the complicated and changing capital...
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ژورنال
عنوان ژورنال: Applicationes Mathematicae
سال: 2003
ISSN: 1233-7234,1730-6280
DOI: 10.4064/am30-3-6