scholarly journals Research on Credit Risk of Corporate Bond

2017 ◽  
Author(s):  
Yani Wei ◽  
Zhangyong Xu
Keyword(s):  
Credit Risk ◽  
Corporate Bond

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

scholarly journals Evaluating pension insurance pricing

2015 ◽  
Vol 14 (2) ◽  
pp. 186-201 ◽  
Author(s):  
DAVID F. BABBEL
Keyword(s):  
Credit Risk ◽  
Interest Rates ◽  
Term Structure ◽  
Ad Hoc ◽  
Corporate Bond ◽  
System Model ◽  
Pension Benefit ◽  
Investment Management ◽  
Pension Insurance ◽  
Insurance Pricing

AbstractThe Pension Benefit Guaranty Corporation's (PBGC) Pension Insurance Modeling System model has taken on the Herculean task of modeling in detail and under many scenarios the cash outflows associated with the pension obligations, they have assumed. This paper's comments are focused almost entirely upon the PBGC's termination liabilities, and address four pressing issues: (1) the need to discount the liability stream by current riskless interest rates instead of using corporate bond rates that reflect credit risk, call risk, and other risks, or using some ad hoc prescribed average of past rates; (2) the need to use a term structure of interest rates; (3) the need to employ more useful investment management benchmarks; and (4) how to implement a relevant and rigorous liability benchmark.

The Relation between Two Kinds of Par Yield Curves: Benchmark Par Yield Curve and Company Par Yield Curve

2012 ◽  
Vol 20 (3) ◽  
pp. 325-346
Author(s):  
Seung Hyun Oh
Keyword(s):  
Credit Risk ◽  
Credit Rating ◽  
Yield Curve ◽  
Bond Market ◽  
Corporate Bond ◽  
Spot Rate ◽  
Yield Curves ◽  
Transaction Data ◽  
Absolute Value ◽  
Bootstrapping Method

This study investigates the relation between two kinds of par yield curves estimated in Korean bond market: benchmark par yield curve and company par yield curve. The former is published as a benchmark for corporate bonds with a given credit rating and the latter is utilized for valuing a specific corporate bond. Spot rate curves are extracted from the par yield curves by applying bootstrapping method. The spreads between the two spot rate curves are analyzed for 7 years (2005~2012) of corporate bond transaction data. Six results are obtained from various sub-samples classified by credit rating and maturity. 1) Most of the sample means of the spreads are above zero. 2) Negative average spreads are found mainly from the sample of BBB rated bonds. 3) Average spreads from the sample with credit greater than or equal to A tend to positively related with credit risk. 4) Absolute value of the average spreads are positively related with credit risk. 5) The average spreads are increased rapidly after the year of 2009. 6) The proportion of sub-samples having negative average spreads are decreased as the average maturity of the sample is shortened.

Credit Risk in Japan's Corporate Bond Market

CFA Digest ◽  
2000 ◽  
Vol 30 (3) ◽  
pp. 97-98
Author(s):  
Frank T. Magiera
Keyword(s):  
Credit Risk ◽  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market

Modeling Term Structure of Corporate Bond and Credit Risk Spreads

2009 ◽  
Vol 38 (2) ◽  
pp. 69-86
Author(s):  
Akihiro Kawada ◽  
Takayuki Shiohama
Keyword(s):  
Credit Risk ◽  
Term Structure ◽  
Corporate Bond

Review on Foreign Study of Corporate Bond Spread

2013 ◽  
Vol 655-657 ◽  
pp. 2258-2261
Author(s):  
Jie Min Huang ◽  
Su Sheng Wang ◽  
Jing Xia Xu ◽  
Zhao Hua Lan
Keyword(s):  
Credit Risk ◽  
Systemic Risk ◽  
Default Risk ◽  
Equity Market ◽  
Corporate Bond ◽  
Analyst Forecast ◽  
Foreign Study ◽  
Forecast Dispersion ◽  
Market Index ◽  
The Impact

Foreign literatures are mainly about analyst forecast dispersion, liquidity risk, equity market volatility, default risk, taxes, credit risk, and the interaction of credit risk and default risk and other factors that influence bond spread. The literatures including the research on the impact of equity market index, but little literatures refer to the impact of bond complex index on bond spread. There are different opinions about the impact of systemic risk on bond spread

scholarly journals A Quantitative Analysis of Risk Premia in the Corporate Bond Market

2019 ◽  
Vol 13 (1) ◽  
pp. 3 ◽  
Author(s):  
Sara Cecchetti
Keyword(s):  
Quantitative Analysis ◽  
Credit Risk ◽  
European Central Bank ◽  
Risk Premia ◽  
Bond Market ◽  
Corporate Bond ◽  
Corporate Bond Market ◽  
European Central ◽  
Corporate Credit ◽  
Corporate Securities

Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the European Central Bank, it has been discussed whether the observed reduction in corporate credit risk was due to the decrease in risk aversion favored by the monetary easing or by expectations of lower losses due to corporate defaults. This work introduces a new methodology to break down the factors that drive corporate credit risk, namely the premium linked to cyclical and monetary conditions and that linked to the restructuring of the companies. Untangling these two components makes it possible to quantify the drivers of excess returns in the corporate bond market.

Sign in / Sign up

Export Citation Format

Share Document