Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub‐Prime Crisis

2012 ◽  
Author(s):  
Giovanni Barone-Adesi ◽  
Nicola Carcano ◽  
Hakim Dall'O
Keyword(s):  
Corporate Bond ◽  
Bond Portfolios ◽  
New Evidence

OPTIMAL PORTFOLIOS OF CORPORATE BONDS AND HOLD TO MATURITY STRATEGIES

2015 ◽  
Vol 10 (02) ◽  
pp. 1550010
Author(s):  
YAACOV KOPELIOVICH
Keyword(s):  
Corporate Bond ◽  
Insurance Companies ◽  
Asset Liability Management ◽  
Optimal Portfolios ◽  
Optimal Weights ◽  
Liability Management ◽  
Simulation Based ◽  
Copula Approach ◽  
Bond Portfolios ◽  
Bond Indices

In this paper, we initiate a research on optimal bond portfolios, that are held to their maturity. We solve the problem analytically for log utility investor in the case of one risky corporate asset. We compare the behavior of these portfolios to equally weighted and portfolios with randomly selected weights. We apply simulation based on Vasicek’s copula approach to derive optimal weights for a corresponding problem involving more than one corporate bond. Further we discover that these portfolios outperform naive investment in constant maturity (CCM) bond indices with a similar maturity horizon. We explain possible application of our findings to boost asset liability management (ALM) strategies for pensions and insurance companies.

Corporate Bond Markets

2019 ◽  
pp. 113-130
Author(s):  
Kelly E. Carter
Keyword(s):  
Interest Rates ◽  
Credit Ratings ◽  
Corporate Bonds ◽  
Corporate Bond ◽  
Bond Markets ◽  
Bond Prices ◽  
Wall Street ◽  
Yield Curves ◽  
Bond Portfolios ◽  
The Impact

This chapter covers the fundamentals of corporate bond markets. It begins by highlighting the size and importance of these markets, followed by a discussion of the major types of corporate bonds and the process of issuing bonds. Next, the chapter provides a discussion of important relationships between a bond’s price and market interest rates, including the key observation that bond prices move opposite market interest rates. The next topic focuses on duration and convexity, which are techniques to estimate the dollar and percent changes in bond prices for a given change in market interest rates, followed by a discussion of bond immunization, which is a technique used to protect the value of bond portfolios from adverse changes in market interest rates. The final topics covered concern yield curves, credit ratings, and the impact of the Dodd-Frank Wall Street Reform Act of 2010 on corporate bond markets.

Hedging Market and Credit Risk in Corporate Bond Portfolios

2011 ◽  
pp. 73-98 ◽  
Author(s):  
Patrizia Beraldi ◽  
Giorgio Consigli ◽  
Francesco De Simone ◽  
Gaetano Iaquinta ◽  
Antonio Violi
Keyword(s):  
Credit Risk ◽  
Corporate Bond ◽  
Bond Portfolios

Value at Risk for Corporate Bond Portfolios

2003 ◽  
Vol 13 (2) ◽  
pp. 19-32 ◽  
Author(s):  
P.C. Venkatesh
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Corporate Bond ◽  
Bond Portfolios

Hedging corporate bond portfolios

1986 ◽  
Vol 12 (4) ◽  
pp. 23-25 ◽  
Author(s):  
Robin Grieves
Keyword(s):  
Corporate Bond ◽  
Bond Portfolios

Applying Error-Adjusted Hedging to Corporate Bond Portfolios

2016 ◽  
pp. 47-77
Author(s):  
Giovanni Barone Adesi ◽  
Nicola Carcano ◽  
Hakim Dall’O
Keyword(s):  
Corporate Bond ◽  
Bond Portfolios

scholarly journals Investment and the Cost of Capital: New Evidence from the Corporate Bond Market

2007 ◽  
Author(s):  
Simon Gilchrist ◽  
Egon Zakrajsek
Keyword(s):  
Cost Of Capital ◽  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market ◽  
The Cost ◽  
New Evidence
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