A Real Accurate Formula for the Yield Elasticity of Bond Price

2012 ◽  
Author(s):  
Michael J. Osborne
Keyword(s):  
Bond Price

Strategi Pengelolaan Risiko dan Peningkatan Kualitas Pengelolaan Kas Negara

2017 ◽  
Vol 2 (2) ◽  
pp. 43-54
Author(s):  
Agung Mulyono
Keyword(s):  
Interest Rates ◽  
Financial Risk ◽  
Vector Autoregression ◽  
Secondary Market ◽  
Key Factors ◽  
Bond Price ◽  
Hedging Strategy ◽  
Foreign Loan ◽  
Term Operation ◽  
Loan Interest Rates

Cash management is  one of treasury’s main functions in which has a potential financial risk. A potential financial risk emerges when State Treasurer manages cash surplus and or/ shortages in order to maintain optimum liquidity. By applying Vector Autoregression (VAR) system on empirical data provided by Bank Indonesia and the Ministry of Finance of Indonesia, we found that currency value  flunctuation is a significant factor for repayment value of foreign loan. Interest rates and amount of government’s bond held by foreign investors are also variables impacted on government’s bond price movement in secondary market. Currency value  flunctuation and price of government’s bond in secondary market are the key factors that have to be considered by State Treasurer (BUN) in managing state’s money. Hedging strategy by using derivatif product is possible to be utilized by State Treasurer (BUN) due to it’s flexibility for short-term operation.   Abstrak Pengelolaan kas negara merupakan salah satu fungsi pokok perbendaharaan yang dalam proses pelaksanaannya menyimpan potensi berbagai risiko keuangan. Risiko keuangan, khususnya dalam investasi berpotensi muncul ketika Bendahara Umum Negara (BUN) melakukan kegiatan pengelolaan kelebihan dan/ kekurangan kas dalam rangka menjamin ketersediaan dan optimalisasi kas. Dengan menggunakan analisis Vector Autoregression (VAR) atas data empiris yang diperoleh dari Bank Indonesia dan Kementerian Keuangan Indonesia, penulis menemukan bahwa fluktuasi nilai tukar mata uang merupakan faktor yang signifikan terhadap besaran pembayaran utang luar negeri pemerintah. Tingkat suku bunga acuan dan pergerakan besaran kepemilikan SUN oleh investor asing juga merupakan variabel yang berpengaruh terhadap pergerakan harga SUN di pasar sekunder. Fluktuasi nilai tukar mata uang dan pergerakan harga SUN di pasar sekunder menjadi faktor penting dalam pelaksanaan investasi yang dilakukan BUN dalam rangka pengelolaan kelebihan dan/ kekurangan kas. Berdasarkan hasil tersebut, strategi pengelolaan risiko atau hedging dengan menggunakan produk-produk derivatif dalam pengelolaan kelebihan dan/ kekurangan kas jangka pendek – menengah sangat dimungkinkan karena sifat instrumen derivatif yang fleksibel.

Bond Price and Risk Dyamics

2012 ◽  
Author(s):  
Golaka C. Nath
Keyword(s):  
Bond Price

Corporate Bond Price Reversals

2019 ◽  
Author(s):  
Alexey Ivashchenko
Keyword(s):  
Corporate Bond ◽  
Bond Price

scholarly journals Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
C. F. Lo
Keyword(s):  
Interest Rate ◽  
Algebraic Approach ◽  
Dynamical Symmetry ◽  
Bond Pricing ◽  
Model Parameters ◽  
Time Varying ◽  
Single Factor ◽  
Bond Price ◽  
Interest Rate Models ◽  
Root Model

The Lie-algebraic approach has been applied to solve the bond pricing problem in single-factor interest rate models. Four of the popular single-factor models, namely, the Vasicek model, Cox-Ingersoll-Ross model, double square-root model, and Ahn-Gao model, are investigated. By exploiting the dynamical symmetry of their bond pricing equations, analytical closed-form pricing formulae can be derived in a straightfoward manner. Time-varying model parameters could also be incorporated into the derivation of the bond price formulae, and this has the added advantage of allowing yield curves to be fitted. Furthermore, the Lie-algebraic approach can be easily extended to formulate new analytically tractable single-factor interest rate models.

A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework

2011 ◽  
Vol 11 (4) ◽  
pp. 487-493 ◽  
Author(s):  
Marianito R. Rodrigo ◽  
Rogemar S. Mamon
Keyword(s):  
Term Structure ◽  
Time Dependent ◽  
Unified Approach ◽  
Bond Price ◽  
Affine Term Structure ◽  
Modelling Framework

Post-Earnings Announcement Bond Price Reaction

2012 ◽  
Author(s):  
Xiaoting Wei ◽  
Cameron Truong ◽  
Madhu Veeraraghavan
Keyword(s):  
Bond Price ◽  
Earnings Announcement ◽  
Price Reaction

The Bond Price Support Program as a Change in Policy Regimes: Evidence from the Term Structure of Interest Rates

1991 ◽  
Vol 23 (3) ◽  
pp. 367 ◽  
Author(s):  
William K. Hutchinson ◽  
Mark Toma
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Support Program ◽  
Price Support ◽  
Bond Price ◽  
Policy Regimes

scholarly journals Obligasi Bencana Alam Dengan Suku Bunga Stokastik Dan Pendekatan Campuran

2016 ◽  
Vol 7 (1) ◽  
pp. 49-62
Author(s):  
Dian Anggraini ◽  
Yasir Wijaya
Keyword(s):  
Interest Rates ◽  
Natural Disaster ◽  
Financial Risk ◽  
Bond Price ◽  
Federal Reserve Bank ◽  
Aggregate Distribution ◽  
Disaster Loss ◽  
Reserve Bank ◽  
Mixed Approach ◽  
The Impact

This study contains the group claims model as discussed by (Lee, 2007)  for the pricing of natural disaster bonds. This research was conducted with several stages. First make the formula of bond price with stochastic interest rate and disaster event following non homogeneous poisson process. It further estimates the parameters of disaster loss data from the Insurance Information Institute (III) from 1989 to 2012 and interest rates from the Federal Reserve Bank. Because the determination of aggregate distribution is difficult to be exact, numerical calculation is done by mixed approach method (Gamma and Inverse Gaussian) to determine the solution of natural disaster bond price. Finally, shows how the impact of financial risk and disaster risk on the price of natural disaster bonds.

scholarly journals Reputation and Sovereign Default

Econometrica ◽  
2021 ◽  
Vol 89 (4) ◽  
pp. 1979-2010 ◽  
Author(s):  
Manuel Amador ◽  
Christopher Phelan
Keyword(s):  
Continuous Time ◽  
Sovereign Debt ◽  
Sovereign Default ◽  
Bond Price ◽  
Continuous Time Model ◽  
Bond Prices ◽  
Time Model ◽  
Markov Equilibrium ◽  
Random Times ◽  
Increasing Functions

This paper presents a continuous‐time model of sovereign debt. In it, a relatively impatient sovereign government's hidden type switches back and forth between a commitment type, which cannot default, and an opportunistic type, which can, and where we assume outside lenders have particular beliefs regarding how a commitment type should borrow for any given level of debt and bond price. In any Markov equilibrium, the opportunistic type mimics the commitment type when borrowing, revealing its type only by defaulting on its debt at random times. The equilibrium features a “graduation date”: a finite amount of time since the last default, after which time reputation reaches its highest level and is unaffected by not defaulting. Before such date, not defaulting always increases the country's reputation. For countries that have recently defaulted, bond prices and the total amount of debt are increasing functions of the amount of time since the country's last default. For countries that have not recently defaulted (i.e., those that have graduated), bond prices are constant.

KUALITAS PASAR OBLIGASI KORPORASI INDONESIA

2017 ◽  
pp. 11-25
Author(s):  
Donalson Silalahi
Keyword(s):  
Transaction Costs ◽  
Transaction Cost ◽  
Sampling Technique ◽  
Bond Market ◽  
Corporate Bond ◽  
Multiple Regression Equation ◽  
Bond Price ◽  
Corporate Bond Market ◽  
Macroeconomic Indicators

lndonesia corporate bond market development can he done from various aspects, among others, through the stability and improvement of macroeconomic indicators, improving the quality of financial infrastructure, and improving the quality of the corporate bond market. This study aimed to describe the quality Indonesian corporate bond market based transaction costs approach. Therefore, the quality of the corporate bond market in this study manifested by transaction costs and decomposition of transaction costs (information friction and real friction). Based on the estimation of transaction costs and decomposition of transaction costs, regulators and market managers can create a variety of policies to improve the quality of the corporate bond market. To achieve these goals, the data used were corporate bond registered and transacted in the bond market and the sources of data from Securities Division reported OTC-FIS (Over the counter – Fixed Income Service). The research samples were 2336 observations using the purposive sampling technique to gather samples. The data were analyzed using the multiple regression equation. The research indicates that: First, transaction costs ty’ corporate bond is 0-798 with t-statistic is 31.964. Second, the contribution of information friction againts transaction cost is 45.1 percent with t-statistic is 18.20. "third, the contriliution real friction againts transaction cost is 14.2 percent with t-statistic is 5.71. Fourth, the information friction have the greater contribution to transaction cost with or without the classification of sample. Fifth, in the change of bond price segmentation, the contribution of information friction increases with the increase of the change of bond price. With reference to the research results, the quality of the corporate bond market can he improved by lowering the transaction costs in trade mechanism. Transaction costs can be reduced through increased transparency and improved the trading niechanisni of corporate bond market. Furthermore, the result if this research can be used by investors in creating portfolios and holding periods and for bond emitters in issuing bonds.

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