Téléchargez le livre : Empirically Effective Government and Corporate Bond Pricing Models

Empirically Effective Government and Corporate Bond Pricing Models

Yield Curves and Default Curves

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Éditeur :

Springer


Paru le : 2025-05-31



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Description

This book presents a comprehensive, innovative, integrated, and empirically effective system for cross-sectionally analyzing prices of government bonds (GBs) and corporate bonds (CBs) to timely obtain practically useful information on yield curves and default curves. The system consists of (1) GB-pricing model that values coupon GB and gives yield curve, (2) credit risk rating model of each CB, and (3) CB-pricing model that gives default curve or equivalently term structure of default probabilities (TSDP), which prices credit default swap (CDS). And in view of data science, the empirical effectiveness of the modeling concept, formulated models with price correlations, and estimation procedures in the system is verified with monthly data through various applications of the models to practically important analyses on prices of Japanese GBs and CBs, the USA GBs and CBs, and European GBs (EUGBs) where GBs of Germany, France, Italy, Spain, and Greece. Fact, both yield curves and default curves over a future time horizon.  The system enables us to get practically and timely predictive information for making decisions in investment, formation of effective bond portfolio, asset and liability management (ALM), and risk management of yield curve and default curve in banks, trust funds, pension funds, life insurance firms, among others.
Pages
303 pages
Collection
n.c
Parution
2025-05-31
Marque
Springer
EAN papier
9789819611034
EAN PDF
9789819611041
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
30
Taille du fichier
8305 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
137,14 €
EAN EPUB
9789819611041
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
30
Taille du fichier
56986 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
137,14 €

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