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Konstruktion einer Anleihe mit hypothekarischer Besicherung
Alram, Johannes - 2009
This work describes the legal structuring of a mortgage covered bond in accordance with the regulations of paragraphs 791 cont. and 1184 cont. German Civil Code (Bürgerliches Gesetzbuch). The work shows how to structure the share of common rights of the bond holders according to the regulations...
Persistent link: https://www.econbiz.de/10010298959
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Time-varying credit risk and liquidity premia in bond and CDS markets
Bühler, Wolfgang; Trapp, Monika - 2009
We develop a reduced-form model that allows us to decompose bond spreads and CDS premia into a pure credit risk component, a pure liquidity component, and a component measuring the relation between credit risk and liquidity. CDS liquidity has important consequences for the bond credit risk and...
Persistent link: https://www.econbiz.de/10010302528
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Trading the bond-CDS basis: The role of credit risk and liquidity
Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10010302537
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Explaining the Bond-CDS Basis: The role of credit risk and liquidity
Bühler, Wolfgang; Trapp, Monika - 2009
We explore the relationship between CDS premia and bond asset swap spreads on the same reference entity. As Duffie (1999) shows, there is a clear theoretical link between CDS premia and bond prices if the two quantities are viewed as a pure measure of credit risk. However, many studies provide...
Persistent link: https://www.econbiz.de/10010302543
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Renditesteigerung durch Steuerstundungseffekte bei Kuponanleihen und Nullkuponanleihen
Hoffmann, Steffen - 2015
Verluste durch Kursveränderungen der Anleihen werden demnach erst dann besteuert, wenn sie mit einer Veräußerung der Anleihe … tatsächlich realisiert werden. Ein Anleger, der seine Anleihe halten und dennoch eine Kursenkung steuerlich geltend machen möchte …, kann dieses Prinzip aber leicht umgehen. Er braucht seine Anleihe nur zu ver- und unmittelbar wieder zurückzukaufen. In …
Persistent link: https://www.econbiz.de/10011304504
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Loan and bond finance in Argentina, 1985-2005
Fernández, Roque B.; González, Celeste; Pernice, Sergio; … - 2007
Loan and bond finance during 1985-2005 can be divided into three sub-periods. After the 1982 debt crisis, which mainly involved domestic and foreign bank loans to both the corporate and government sectors, there was practically no credit. This situation of lack of credit persisted until the...
Persistent link: https://www.econbiz.de/10010323309
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Duration & Dimension
Hallerbach, Winfried G. - 1999
In fixed income analysis, duration plays a central role as a proxy for interestrate risk exposure. Althoughthis role relies on the interpretation of duration as (minus) theyield elasticity of the bond price, duration ismeasured as a bond's present value weighted average time to maturity...
Persistent link: https://www.econbiz.de/10010324570
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Valuing Euro Rating-Triggered Step-Up Telecom Bonds
Houweling, Patrick; Mentink, Albert; Vorst, Ton - 2003
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
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Aggregate Stock Market Illiquidity and Bond Risk Premia
Bouwman, Kees E.; Sojli, Elvira; Tham, Wing Wah - 2012
We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock market illiquidity variable adds to the well established Cochrane-Piazzesi and Ludvigson-Ng factors. It explains 10%, 9%, 7%, and 7% of the one-year-ahead variation in the excess...
Persistent link: https://www.econbiz.de/10010326359
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An empirical analysis of the financing strategy of callable bonds
Ryu, Keunkwan; Wee, Jung Bum - 2001
This paper empirically analyzes the call timing of callable bonds to see how refunding opportunity, cost of financial distress, agency cost of debt, and private information affect the call decision. The empirical results show that firms issue callable bonds, convertible or not, to enjoy future...
Persistent link: https://www.econbiz.de/10010332329