interest-rate sensitive, derivative pricing models. Our overview of conceptual approaches highlights the tradeoffs that have …

This paper investigates predictions of structural credit risk models for interest rate sensitivities of corporate bond … corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … corporate bond returns, we need to incorporate a more realistic DTSM in the existing structural models. Lastly, we find that …

, the model remains tractable. In particular, bond prices are given by quasi-explicit formulas. Various numerical examples …

evidence on the informational value of bond ratings for financial investors. In this study we examine the relationship between … bond ratings and credit spreads for US corporate bonds using a Granger causality approach in panel data sets. The findings … indicate that ratings generally carry some informational value for corporate bond investors. The causal relationship is more …

We examine the relative impact of Moody's and S&P ratings on bond yields and find that at issuance, yields on split …

A bond's expected return (EBR) is the ex-ante internal rate of return of the bond's expected future cash flows, whereas … a bond's yield to maturity (YTM) is the internal rate of return of its promised future cash flows. In this paper we … the model to U.S. corporate bond data, using rating transition matrices and industry-specific recovery rates. We show that …

we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical … bond pricing formulae and show how to modify this formula to account for accrued interest.To be able to evaluate bond cash … the bond. There is no closed-form analytical solution. Therefore, it must be solved for using an optimization algorithm …