Showing 1 - 10 of 18
Persistent link: https://www.econbiz.de/10001903784
Persistent link: https://www.econbiz.de/10001903804
Persistent link: https://www.econbiz.de/10002717328
Persistent link: https://www.econbiz.de/10001791911
Persistent link: https://www.econbiz.de/10001791915
Persistent link: https://www.econbiz.de/10002007151
We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando andTurnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and(iii) as plain vanilla bonds. We find that the market seems to value single step-up bondsaccording to the JLT model,...
Persistent link: https://www.econbiz.de/10011255659
We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity, credit and currencydifferences between bonds. The...
Persistent link: https://www.econbiz.de/10011256564
We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity, credit and currencydifferences between bonds. The...
Persistent link: https://www.econbiz.de/10010324943
We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando andTurnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and(iii) as plain vanilla bonds. We find that the market seems to value single step-up bondsaccording to the JLT model,...
Persistent link: https://www.econbiz.de/10010324990