Alternate Hedge For Bonds Subject To Credit Risk
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Alternate Hedge For Bonds Subject To Credit Risk
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Author : Frank S. Skinner
language : en
Publisher:
Release Date : 1999
Alternate Hedge For Bonds Subject To Credit Risk written by Frank S. Skinner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
To date there is no satisfactory way to measure and control interest rate risk for bonds subject to high levels of credit risk. In addressing this gap, this work develops the survival measure, a new measure of interest rate sensitivity for corporate bonds. An acid test of a sensitivity measure is its use as a hedge ratio. The hedge ratio based on a particular sensitivity measure that minimizes cash portfolio losses in response to an unexpected change in interest rates will be the quot;bestquot; measure of interest rate risk. Accordingly, nine alternate hedge ratios, seven of which are new, are developed and examined. Considerable variations in the size of alternate hedge ratios suggest that improvements in hedging strategies may be available, depending on whether credit risky bonds have a consistently greater (less) response to a change in the level of interest than that suggested by the Macaulay duration based hedge ratio now used in practice. Some preliminary evidence suggests that the survival interest rate sensitivity measure developed here can improve hedging performance and therefore is a better measure of interest rate sensitivity for corporate bonds than Macaulay duration.
Alternate Hedge Ratios For Bonds Subject To Credit Risk
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Author : Frank S. Skinner
language : en
Publisher:
Release Date : 2008
Alternate Hedge Ratios For Bonds Subject To Credit Risk written by Frank S. Skinner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
To date there is no satisfactory way to measure and control interest rate risk for bonds subject to high levels of credit risk. In addressing this gap, this work develops the survival measure, a new measure of interest rate sensitivity for corporate bonds. The survival measure leads to the development of nine alternate hedge ratios, seven of which are new. Considerable variations in the size of alternate hedge ratios are observed, including some that are consistently larger and in use. This suggest that improvements in hedging strategies may be available, depending on whether credit risky bonds have a consistently greater (less) response to a change in the level of interest rate than suggested by the Macaulay duration based hedge ratio.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
The Investment Performance Of Defaulted Bonds And Bank Loans 1987 1997 And Market Outlook
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Author : Edward I. Altman
language : en
Publisher:
Release Date : 1998
The Investment Performance Of Defaulted Bonds And Bank Loans 1987 1997 And Market Outlook written by Edward I. Altman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Predictable Changes In Yields And Forward Rates
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Author : David Backus
language : en
Publisher:
Release Date : 1998
Predictable Changes In Yields And Forward Rates written by David Backus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Bonds categories.
We consider patterns in the predictability of interest rates, characterized relative to the expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable estimates of one-factor Cox-Ingersoll-Ross models imply regressions on the opposite side of the EH than we see in the data: regression slopes are greater than one, not less than one. (iii) Multifactor affine models can nevertheless approximate both departures from the EH and other properties of interest rates
Measuring The Non Linearity Of Fixed Income Securities
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Author : March S. Freed
language : en
Publisher:
Release Date : 1996
Measuring The Non Linearity Of Fixed Income Securities written by March S. Freed and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Fixed-income securities categories.
How Relevant Is Volatility Forecasting For Financial Risk
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Author : Peter F. Christoffersen
language : en
Publisher:
Release Date : 1999
How Relevant Is Volatility Forecasting For Financial Risk written by Peter F. Christoffersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
Banks Systemic Risk And Design Of Prudential Regulation
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Author : Viral V. Acharya
language : en
Publisher:
Release Date : 2000
Banks Systemic Risk And Design Of Prudential Regulation written by Viral V. Acharya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Banking law categories.
The Effects Of Bank Mergers And Acquisitions On Small Business Lending
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Author : Allen N. Berger
language : en
Publisher:
Release Date : 1997
The Effects Of Bank Mergers And Acquisitions On Small Business Lending written by Allen N. Berger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Bank loans categories.
Affine Models Of Currency Pricing
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Author : David Backus
language : en
Publisher:
Release Date : 1996
Affine Models Of Currency Pricing written by David Backus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Foreign exchange rates categories.
Perhaps the most puzzling feature of currency prices is the tendency for high interest rate currencies to appreciate, when the expectations hypothesis suggests the reverse. Some have attributed this forward premium anomaly to a time-varying risk premium, but theory has been largely unsuccessful in producing a risk premium with the requisite properties. We characterize the risk premium in a general arbitrage-free setting and describe the features a theory must have to account for the anomaly. In affine models, the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that we abandon the common requirement that interest rates be strictly positive.