Similar Search Results

Giesecke, Kay - 2001

Persistent link: https://www.econbiz.de/10001646775

Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model

Gauthier, Geneviève - 2012

spreads as it modifies both the level and shape of the curves. When a bond portfolio is considered, the presence of dependence …

Persistent link: https://www.econbiz.de/10013101883

Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction

Han, Song - 2013

Taking advantage of recently augmented corporate bond transaction data, we examine the pricing implications of informed … asymmetry seem to capture adverse selection in corporate bond trading reasonably well. We demonstrate that information asymmetry … in bond trading has explanatory power for corporate bond yield spreads, and this result holds after controlling for the …

Persistent link: https://www.econbiz.de/10013093704

Causality Relationship between Bond Ratings and Credit Spreads

Kume, Ortenca - 2013

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 …

Persistent link: https://www.econbiz.de/10013074029

Covenants and Collateral in Japanese Corporate Straight Bonds : Choice and Yield Spread

Tanigawa, Yasuhiko - 2013

How does a firm choose a set of covenants and of collateral to pledge when issuing straight bonds publicly in Japan? Covenants and collaterals are contract clauses intended to protect rights of the bondholders. If the protection is priced in the issue, why do firms try to put them all in the...

Persistent link: https://www.econbiz.de/10013074954

Rating Migration and Bond Valuation : Decomposing Rating Migration Matrices from Market Data Via Default Probability Term Structures

Barnard, Brian - 2017

The study builds on previous research that decomposes rating category default probability term structures from rating category interest rate term structures, and proposes a method to decompose rating migration matrices from market data, via decomposed default probability term structures. To...

Persistent link: https://www.econbiz.de/10012955816

Leveraged Buyouts and Bond Credit Spreads

Eisenthal-Berkovitz, Yael - 2018

Recent decades have witnessed several waves of buyout activity. We find LBOs to be a significant concern for bondholders by showing that a) intra-industry credit spreads increase upon an LBO announcement, b) yields on bonds without event risk covenants are, on average, 21bps higher than those on...

Persistent link: https://www.econbiz.de/10012935678

Are covered bonds different from securitization bonds? A comparative analysis of credit spreads

Pinto, João - 2020

This study compares credit spreads and the pricing of securitization and covered bonds. Using a sample of 18,309 bonds issued by European banks in the 2000-2016 period, we find that asset-backed securities (ABS), mortgage-backed securities (MBS), public covered bonds (PCB), and mortgage covered...

Persistent link: https://www.econbiz.de/10012853679

Liquidity Risk and Yield Spreads of Green Bonds

Wulandari, Febi - 2018

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …

Persistent link: https://www.econbiz.de/10012921889

The Jarrow/Turnbull Default Risk Model Evidence from the German Market

Sögner, Leopold - 2018

observations of German bank bond prices, based on the default-free term structure estimated from the Svensson (1994) model provided … depend on the estimation period and on the bond used for estimation. This result strongly supports separate estimation over …

Persistent link: https://www.econbiz.de/10012923107