In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of a portfolio assets. Our approach close but it does...

In this paper, we present effect of the liquidity on risky bonds pricing. The liquidity effect is represented by the adjustment to the single price format. We begin with bid-ask pricing format and it helps to observe effect of the liquidity on each step of pricing. In the first section, we...