scholarly journals Regime Switching and Bond Pricing

2013 ◽  
Vol 12 (2) ◽  
pp. 237-277 ◽  
Author(s):  
C. Gourieroux ◽  
A. Monfort ◽  
F. Pegoraro ◽  
J.-P. Renne
Keyword(s):  
Regime Switching ◽  
Bond Pricing

scholarly journals Pricing Convertible Bonds with Credit Risk under Regime Switching and Numerical Solutions

2014 ◽  
Vol 2014 ◽  
pp. 1-13
Author(s):  
Wei-Guo Zhang ◽  
Ping-Kang Liao
Keyword(s):  
Credit Risk ◽  
Regime Switching ◽  
Numerical Solutions ◽  
Dilution Effect ◽  
Convertible Bonds ◽  
Bond Pricing ◽  
Convertible Bond ◽  
Pricing Model ◽  
Black Scholes ◽  
The Impact

This paper discusses the convertible bonds pricing problem with regime switching and credit risk in the convertible bond market. We derive a Black-Scholes-type partial differential equation of convertible bonds and propose a convertible bond pricing model with boundary conditions. We explore the impact of dilution effect and debt leverage on the value of the convertible bond and also give an adjustment method. Furthermore, we present two numerical solutions for the convertible bond pricing model and prove their consistency. Finally, the pricing results by comparing the finite difference method with the trinomial tree show that the strength of the effect of regime switching on the convertible bond depends on the generator matrix or the regime switching strength.

scholarly journals DEFAULTABLE BOND PRICING USING REGIME SWITCHING INTENSITY MODEL

2013 ◽  
Vol 31 (5_6) ◽  
pp. 711-732 ◽  
Author(s):  
Stephane Goutte ◽  
Armand Ngoupeyou
Keyword(s):  
Regime Switching ◽  
Bond Pricing ◽  
Defaultable Bond ◽  
Intensity Model

A regime-switching model with jumps and its application to bond pricing and insurance

2016 ◽  
Vol 16 (06) ◽  
pp. 1650023 ◽  
Author(s):  
Yinghui Dong ◽  
Guojing Wang ◽  
Kam Chuen Yuen
Keyword(s):  
Regime Switching ◽  
Bond Pricing ◽  
Martingale Method ◽  
Cox Process ◽  
Regime Switching Model ◽  
Switching Model ◽  
Shot Noise Process ◽  
Markovian Regime Switching ◽  
Coupon Bond ◽  
Arrival Intensity

In this paper, we consider a Markovian, regime-switching model with jumps and its application to bond pricing and insurance. The jumps in the model are described by a compound Cox process, where the arrival intensity of the counting number-process follows a regime-switching shot noise process. Using a martingale method, we derive exponential-affine form expressions for the price of a zero-coupon bond and the joint Laplace transform of the aggregate accumulated claims and the arrival intensity.

Regime-switching shot-noise processes and longevity bond pricing

2014 ◽  
Vol 54 (4) ◽  
pp. 383-402 ◽  
Author(s):  
Yinghui Dong ◽  
Kam C. Yuen ◽  
Chongfeng Wu
Keyword(s):  
Shot Noise ◽  
Regime Switching ◽  
Bond Pricing

scholarly journals Regime Switching and Bond Pricing

2013 ◽  
Author(s):  
Christian Gourieroux ◽  
Alain Monfort ◽  
Fulvio Pegoraro ◽  
Jean-Paul Renne
Keyword(s):  
Regime Switching ◽  
Bond Pricing

Modeling the green bond yield on bond offering

2020 ◽  
Vol 26 (12) ◽  
pp. 2858-2878
Author(s):  
M.I. Emets
Keyword(s):  
Linear Regression ◽  
Yield Curve ◽  
Bond Market ◽  
Third Party ◽  
Bond Pricing ◽  
Market Development ◽  
Fair Price ◽  
Lower Yield ◽  
Yield Curves ◽  
Bond Yield

Subject. The article addresses the green bond pricing as compared to bonds other than green ones. Objectives. The aims are to determine how the fact that a bond is identified as a green one, the issue amount, and the availability of third-party verification, influence the yield to maturity; to make recommendations on effective green bond pricing. Methods. The study employs econometric testing of hypotheses, using the multiple linear regression. The sample includes 318 green and 1695 conventional bonds. Results. Green bonds have a lower yield to maturity in comparison with conventional bonds. The yield to maturity of green bonds with third-party verification is lower, as contrasted with green bonds without verification. Conclusions. The next step in the green bond market development is creating a benchmark yield curve for sovereign green bonds, with parallel issuance of conventional, non-green bonds. The yield curve is crucial for effective bond pricing. Two yield curves, i.e. for green and non-green bonds, will enable investors to estimate the fair price on issuance, as well as to define, if there is a difference in pricing.

Risk and Return of Retail Sukuk and Retail Bond in Indonesia Period 2008-2017 (Comparative Study)

2020 ◽  
Vol 15 (1) ◽  
Author(s):  
Rahma Yudi Astuti ◽  
Asad Arsya Brilliant Fani
Keyword(s):  
Standard Deviation ◽  
Comparative Study ◽  
Stock Exchange ◽  
Secondary Data ◽  
Bond Market ◽  
Bond Pricing ◽  
Risk And Return ◽  
Underlying Asset ◽  
The Real ◽  
The World

Sukuk and Bonds has differences and similarities. Fundamental differences between sukuk and bonds are first, underlying asset in every sukuk issuance, concept of profit loss sharing and the use of Islamic contracts. Whereas conducted research in practice of differences between sukuk and bonds are still an on-going discussion. This study aims to add the evidence in the discussion regarding whether there is differences between sukuk and bonds in the world of practice, provide investment preferences as well as educating investors in choosing sukuk or bonds as a sustainable and smooth instrument. The method used is Mann Whitney U-Test to test whether there is a different between yield to maturity (return) and standard deviation (risk) of both instruments. Using secondary data of Retail Sukuk (SR) and Retail Bonds (ORI) period 2008-2017 obtained from Indonesia Stock Exchange, Indonesia Bond Market Directory and Indonesia Bond Pricing Agency. The result shows that there is no significance difference of retail sukuk return and risk with retail bonds in Indonesia. Besides retail bonds are show higher return than retail sukuk because of higher coupon and longest mature date. While, retail sukuk is more stable rather than bonds as it backed up by the real underlying asset. Keywords: Retail Sukuk (SR), Retail Bonds (ORI), Yield to Maturity

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