scholarly journals Empirical Pricing of Chinese Defaultable Corporate Bonds Based on the Incomplete Information Model

2014 ◽  
Vol 2014 ◽  
pp. 1-5 ◽  
Author(s):  
Li Ping ◽  
Wang Xiaoxu
Keyword(s):  
Incomplete Information ◽  
Default Risk ◽  
Corporate Bonds ◽  
Information Model ◽  
Corporate Bond ◽  
Reduced Form ◽  
First Year ◽  
The Real ◽  
Form Model

The default of Suntech Power made the year 2013 in China “the first year of default” of bond markets. People are also clearly aware of the default risk of corporate bonds and find that fair pricing for defaultable corporate bonds is very important. In this paper we first give the pricing model based on incomplete information, then empirically price the Chinese corporate bond “11 super JGBS” from Merton’s model, reduced-form model, and incomplete information model, respectively, and then compare the obtained prices with the real prices. Results show that all the three models can reflect the trend of bond prices, but the incomplete information model fits the real prices best. In addition, the default probability obtained from the incomplete information model can discriminate the credit quality of listed companies.

scholarly journals Monte Carlo Valuation of Corporate Bonds Using Price  Data

2021 ◽  
Author(s):  
◽  
Nimesh Patel
Keyword(s):  
Structural Models ◽  
Poor Performance ◽  
Corporate Bond ◽  
Bond Pricing ◽  
Reduced Form ◽  
Corporate Bond Market ◽  
Default Intensity ◽  
The Us ◽  
Form Model ◽  
Reduced Form Model

<p>Corporate debt securities play a large part in financial markets and hence accurate modeling of the prices of these securities is integral. Ericsson and Reneby (2005) state that the corporate bond market in the US doubled between 1995 and 2005 and is now larger than the market for US treasuries. Although the theoretical corporate bond pricing literature is vast, very little empirical research to test the effectiveness of these models has been published. Corporate bond pricing models are split into two families of models. The first, are the structural models which endogenise default by modeling it as an event that may eventuate due to the insolvency of the underlying firm. The second family of models is the newer class of reduced-form models that exogenise default by modeling it as some random process (default intensity). The reduced-form models have been formulated largely due to the empirical failures of the structural family to accurately model prices and spreads. However as Ericsson and Reneby (2005) point out, an inadequate estimation approach may explain the poor performance of the structural models. Structural models are, therefore, the focus of this paper. We, however, do estimate a reduced-form model in order to make a comparison between the two types of model. There are no published papers (to my knowledge) in which both types of model are implemented ...</p>

scholarly journals Can the dual-rating regulation improve the rating quality of Chinese corporate bonds?

PLoS ONE ◽  
2021 ◽  
Vol 16 (12) ◽  
pp. e0259759
Author(s):  
Xiangyun Zhou
Keyword(s):  
Corporate Bonds ◽  
Corporate Bond ◽  
Logit Models ◽  
Bond Ratings ◽  
Rating Agencies ◽  
Different Types ◽  
Empirical Tests ◽  
Regulatory Effects ◽  
Reputation Effect

We developed a dual-reputational rating shopping model to introduce public and institutional reputations. Investor’s and regulator’s penalty rates are described as public and institutional reputations, respectively. We achieved the available conditions of single-rating and dual-rating regulations to prevent rating inflation in this model. To examine the regulatory effects of different types of regulations on Chinese corporate bond ratings, we utilize panel ordered logit models. Theoretical analysis and empirical tests show that, when the reputation effect is low, the single-rating regulation is better at improving rating quality, and when the reputation effect is high, the dual-rating regulation induces rating agencies to provide more accurate ratings. Compared to the regulatory effects of the single-rating and the multi-rating regulations, the dual-rating regulation most effectively improves the rating quality of corporate bonds and prevents rating inflation.

ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK

2016 ◽  
Vol 31 (1) ◽  
pp. 100-120 ◽  
Author(s):  
Xingchun Wang
Keyword(s):  
Discrete Time ◽  
Default Risk ◽  
Closed Form Solution ◽  
Form Solution ◽  
Reduced Form ◽  
Option Prices ◽  
Underlying Asset ◽  
Proposed Model ◽  
Form Model ◽  
Vulnerable Options

In this paper, we present a pricing model for vulnerable options in discrete time. A Generalized Autoregressive Conditional Heteroscedasticity process is used to describe the variance of the underlying asset, which is correlated with the returns of the asset. As for counterparty default risk, we study it in a reduced form model and the proposed model allows for the correlation between the intensity of default and the variance of the underlying asset. In this framework, we derive a closed-form solution for vulnerable options and investigate quantitative impacts of counterparty default risk on option prices.

scholarly journals Monte Carlo Valuation of Corporate Bonds Using Price  Data

2021 ◽  
Author(s):  
◽  
Nimesh Patel
Keyword(s):  
Structural Models ◽  
Poor Performance ◽  
Corporate Bond ◽  
Bond Pricing ◽  
Reduced Form ◽  
Corporate Bond Market ◽  
Default Intensity ◽  
The Us ◽  
Form Model ◽  
Reduced Form Model

<p>Corporate debt securities play a large part in financial markets and hence accurate modeling of the prices of these securities is integral. Ericsson and Reneby (2005) state that the corporate bond market in the US doubled between 1995 and 2005 and is now larger than the market for US treasuries. Although the theoretical corporate bond pricing literature is vast, very little empirical research to test the effectiveness of these models has been published. Corporate bond pricing models are split into two families of models. The first, are the structural models which endogenise default by modeling it as an event that may eventuate due to the insolvency of the underlying firm. The second family of models is the newer class of reduced-form models that exogenise default by modeling it as some random process (default intensity). The reduced-form models have been formulated largely due to the empirical failures of the structural family to accurately model prices and spreads. However as Ericsson and Reneby (2005) point out, an inadequate estimation approach may explain the poor performance of the structural models. Structural models are, therefore, the focus of this paper. We, however, do estimate a reduced-form model in order to make a comparison between the two types of model. There are no published papers (to my knowledge) in which both types of model are implemented ...</p>

scholarly journals Accounts Receivable Factoring As A Response To Weak Governance: Panel Data Evidence

2010 ◽  
Vol 9 (2) ◽  
Author(s):  
Daniel J. Borgia ◽  
Mushfiq Swaleheen ◽  
Travis L. Jones ◽  
H. Shelton Weeks Weeks
Keyword(s):  
Reduced Form ◽  
Significant Determinant ◽  
Working Capital ◽  
Accounts Receivable ◽  
Form Model ◽  
Reduced Form Model ◽  
Quality Of Governance ◽  
Weak Laws ◽  
Cross Country

Accounts receivable factoring is a financing arrangement that occurs when a business sells its accounts receivables.  Factoring has emerged as the most important source of working capital for small and medium sized enterprises (SMEs) in many economies because weak laws, poor enforcement, and the associated informational opacity put the SMEs at a disadvantage when borrowing.  This paper presents an empirical analysis of cross-country differences in factoring activity to determine whether the quality of governance is a significant determinant of the level of factoring activity.  Our analysis is based on a reduced form model that relates a country’s factoring activity (turnover) to the quality of governance, while controlling for other determinants of factoring discussed in the literature.  We use data for a panel of 59 countries, over the period 1995 – 2005.  Our findings support the hypothesis that factoring is more prevalent in economies with weak governance.  Additionally, we present evidence that factor turnover is decreasing in the incidence of corruption.

scholarly journals Testing Models of Social Learning on Networks: Evidence From Two Experiments

Econometrica ◽  
2020 ◽  
Vol 88 (1) ◽  
pp. 1-32 ◽  
Author(s):  
Arun G. Chandrasekhar ◽  
Horacio Larreguy ◽  
Juan Pablo Xandri
Keyword(s):  
Social Learning ◽  
Incomplete Information ◽  
Information Model ◽  
Reduced Form ◽  
Form Analysis ◽  
Learning Agents ◽  
Lab Experiments ◽  
Binary State ◽  
Mixing Parameter ◽  
Learning Types

We theoretically and empirically study an incomplete information model of social learning. Agents initially guess the binary state of the world after observing a private signal. In subsequent rounds, agents observe their network neighbors' previous guesses before guessing again. Agents are drawn from a mixture of learning types—Bayesian, who face incomplete information about others' types, and DeGroot, who average their neighbors' previous period guesses and follow the majority. We study (1) learning features of both types of agents in our incomplete information model; (2) what network structures lead to failures of asymptotic learning; (3) whether realistic networks exhibit such structures. We conducted lab experiments with 665 subjects in Indian villages and 350 students from ITAM in Mexico. We perform a reduced‐form analysis and then structurally estimate the mixing parameter, finding the share of Bayesian agents to be 10% and 50% in the Indian‐villager and Mexican‐student samples, respectively.

Concept Of Increasing The Level Of Projects Of Work Production

2020 ◽  
pp. 59-63
Keyword(s):  
Practical Experience ◽  
Production Plan ◽  
The Real ◽  
Master Plans ◽  
General Contractor ◽  
Work Production ◽  
Construction Organization ◽  
Production Plans

The author analyzes the reasons that objectively reduce the importance and quality of the organizational and technological solutions of work production plans and the content of their main documents. Based on a generalization of practical experience, one of the real ways of increasing the level of work production plans is proposed as a result of the development of "The Unified Rules for Work Production on the Site" as part of the construction organization project, in the form of fundamental requirements, followed by the inclusion of this document in the work production plan as an input document. The structure and content of the Unified Rules are described with the disclosure of the main documents - calendar plans of work, construction master plans, technological schemes of works. The first section of the document contains requirements for the content of tasks for the development of the project of work execution, the order of its approval, and requirements for the quality of solutions. The second section presents principal solutions, methods of work execution and their technological schemes. The organizational and technological solutions adopted in the proposed document are specified and detailed by the General Contractor Construction Organization with due regard for the resource capabilities and the actual conditions of construction or reconstruction.

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