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Статті в журналах з теми "Default bonds"

Автор: Grafiati

Опубліковано: 4 червня 2021

Оновлено: 17 лютого 2022

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1

Swank, Thomas A., and Thomas H. Root. "Bonds in Default." Journal of Fixed Income 5, no. 1 (June 30, 1995): 26–31. http://dx.doi.org/10.3905/jfi.1995.408132.

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2

Belhaj, Riadh. "The Valuation of Options on Bonds with Default Risk." Multinational Finance Journal 10, no. 3/4 (December 1, 2006): 277–305. http://dx.doi.org/10.17578/10-3/4-5.

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3

Wang, Anjiao, and Zhongxing Ye. "Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities." Journal of Applied Mathematics 2011 (2011): 1–20. http://dx.doi.org/10.1155/2011/158020.

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Анотація:

We study a three-firm contagion model with counterparty risk and apply this model to price defaultable bonds and credit default swap (CDS). This model assumes that default intensities are driven by external common factors as well as other defaults in the system. Using the “total hazard” approach, default times can be generated and the joint density function is obtained. We represent the pricing method of defaultable bonds and obtain the closed-form pricing formulas. By the approach of “change of measure,” analytical solutions of CDS swap rate (swap premuim) are derived in the continuous time framework and the discrete time framework, respectively.

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4

Izvorski, Ivailo. "Brady Bonds and Default Probabilities." IMF Working Papers 98, no. 16 (1998): 1. http://dx.doi.org/10.5089/9781451843378.001.

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5

Uhlig, Harald. "Sovereign Default Risk and Banks in a Monetary Union." German Economic Review 15, no. 1 (February 1, 2014): 23–41. http://dx.doi.org/10.1111/geer.12039.

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Abstract This study seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any losses should the banks not be able to repurchase the bonds. I argue that regulators in risky countries have an incentive to allow their banks to hold home risky bonds and risk defaults, whereas regulators in other ‘safe’ countries will impose tighter regulation. As a result, governments in risky countries get to borrow more cheaply, effectively shifting the risk of some of the potential sovereign default losses on the common central bank.

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6

Han, Song, and Hao Zhou. "Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data." Quarterly Journal of Finance 06, no. 03 (August 4, 2016): 1650012. http://dx.doi.org/10.1142/s2010139216500129.

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Анотація:

We estimate the non-default component of corporate bond yield spreads and examine its relationship with bond liquidity. We measure bond liquidity using intraday transactions data and estimate the default component using the term structure of credit default swaps (CDS) spreads. With swap rate as the risk free rate, the estimated non-default component is generally moderate but statistically significant for AA-, A-, and BBB-rated bonds and increasing in this order. With Treasury rate as the risk free rate, the estimated non-default component is the largest in basis points for BBB-rated bonds but, as a fraction of yield spreads, it is the largest for AAA-rated bonds. Controlling for the unobservable firm heterogeneity, we find a positive and significant relationship between the non-default component and illiquidity for investment-grade bonds but no significant relationship for speculative-grade bonds. We also find that the non-default component comoves with indicators for macroeconomic conditions.

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7

Maris, Brian A. "Duration for Bonds with Default Risk." CFA Digest 27, no. 3 (August 1997): 20–21. http://dx.doi.org/10.2469/dig.v27.n3.107.

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8

Fooladi, Iraj J., Gordon S. Roberts, and Frank Skinner. "Duration for bonds with default risk." Journal of Banking & Finance 21, no. 1 (January 1997): 1–16. http://dx.doi.org/10.1016/s0378-4266(96)00018-0.

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9

Meres, Bernardo, and Caio Almeida. "Extracting Default Probabilities from Sovereign Bonds." Brazilian Review of Econometrics 28, no. 1 (May 1, 2008): 77. http://dx.doi.org/10.12660/bre.v28n12008.1518.

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10

Takahashi, Akihiko, Takao Kobayashi, and Naruhisa Nakagawa. "Pricing Convertible Bonds with Default Risk." Journal of Fixed Income 11, no. 3 (December 31, 2001): 20–29. http://dx.doi.org/10.3905/jfi.2001.319302.

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11

Gibson-Asner, Rajna. "Valuing Swiss default-free callable bonds." Journal of Banking & Finance 14, no. 2-3 (August 1990): 649–72. http://dx.doi.org/10.1016/0378-4266(90)90068-d.

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12

Coval, Joshua D., Jakub W. Jurek, and Erik Stafford. "Economic Catastrophe Bonds." American Economic Review 99, no. 3 (May 1, 2009): 628–66. http://dx.doi.org/10.1257/aer.99.3.628.

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Анотація:

The central insight of asset pricing is that a security's value depends both on its distribution of payoffs across economic states and on state prices. In fixed income markets, many investors focus exclusively on estimates of expected payoffs, such as credit ratings, without considering the state of the economy in which default occurs. Such investors are likely to be attracted to securities whose payoffs resemble economic catastrophe bonds—bonds that default only under severe economic conditions. We show that many structured finance instruments can be characterized as economic catastrophe bonds, but offer far less compensation than alternatives with comparable payoff profiles. (JEL G11, G12)

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13

Zhou, Xiangying, and Jian Pan. "Pricing default bonds with dynamic default barrier under the hybrid model." Applied Mathematical Sciences 10 (2016): 899–911. http://dx.doi.org/10.12988/ams.2016.6111.

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14

Isakov, K. S. "Sovereign Defaults and Banking Crises." Zhurnal Economicheskoj Teorii 18, no. 1 (2021): 29–47. http://dx.doi.org/10.31063/2073-6517/2021.18-1.2.

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Анотація:

This research is aimed at contributing to the endogenization of default costs. Higher exposure of a banking system to sovereign bonds increases the likelihood of banking panics due to sovereign defaults. Following (Gertler, Kiyotaki, 2015), the research models the possibility of a banking crisis occurring after a sovereign default. While a higher exposure of a banking system is associated with potential losses, this mechanism creates a stronger commitment to honor the sovereign debt. A marginal increase in the sovereign debt raises the ex-post costs of default through a higher likelihood of a banking crisis, thus making a default option less desirable. This mechanism might increase investors’ confidence and resolve the coordination problem of self-fulfilling crises. In part, this may explain the findings of Bocola and Dovis (2019), who claim that non-fundamental risk played only a limited role during the European sovereign debt crisis. Furthermore, as opposed to the standard solution of the coordination problem — to issue debt of longer maturity — a government can resolve this problem by forcing its banking system to hold more sovereign bonds.

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15

Bowles, David, Holley Ulbrich, and Myles Wallace. "Default Risk and the Effects of Fiscal Policy on Interest Rates: 1929–1945." Public Finance Quarterly 16, no. 3 (July 1988): 357–73. http://dx.doi.org/10.1177/109114218801600307.

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Анотація:

Conventional macroeconomic models suggest that expansionary fiscal policy causes higher interest rates, resulting in crowding out of private investment. In this article, we argue that such models ignore the default risk differential between the interest rates on government bonds and corporate bonds. If expansionary fiscal policy causes an expansion in real GNP, default risk falls on corporate bonds. Our model suggests that if the default risk premium falls, (1) corporate interest rates may fall relative to rates on government bonds and (2) private investment is crowded in. We find some supporting empirical evidence of this effect for the period 1929–1945.

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16

Kang, Jang Koo, Sung Hwan Kim, and Chul Woo Han. "Estimating the Term Structure of Interest Rates and Default Risk Embedded in Korean Corporate Bonds." Journal of Derivatives and Quantitative Studies 13, no. 2 (November 30, 2005): 107–32. http://dx.doi.org/10.1108/jdqs-02-2005-b0005.

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Анотація:

This article uses a Kalman filter to fit yields of investment-grade corporate bonds to the model of instantaneous default risk, based on Duffee (1999. Review of Financial Studies. 12. PP. 197-226). The first part of this article fits the term structure of default-free interest rates to a translated two-factor square-root diffusion model. The parameters in the two-factor model are estimated by using a quasi-maxirnum-likelihood estimator in a state-space model in the Korean treasury bond market. A Kalman filter is used to estimate the unobservable factors. The two-factor model successfully incorporates random variations in the slope of the term structure and the level of interest rates‘ After estimating the default-free term structure of interest rates, the second part of this article extends the model to noncallable corporate bonds‘ This is done by assuming that the probability of default follows a translated square-root diffusion process with the possibility of being correlated with default-free interest rates. The parameters of the process are estimated for investment-grade corporate bonds including AM. AA, A. and BBB. Empirical results show that the default risk is negatively correlated with default-free interest rates and confirm that the default risk is greater for lower grades. In addition, the estimated model successfully produces the term structures of credit spreads for corporate bonds and show that the credit spreads for lower grade bonds are more steeply sloped than those for higher grade bonds. These results show that Duffee's model can reasonably account for the observed corporate bond prices in the Korean bond market.

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17

Hui, Cho-Hoi, Chi-Fai Lo, and Shun-Wai Tsang. "Pricing corporate bonds with dynamic default barriers." Journal of Risk 5, no. 3 (May 2003): 17–37. http://dx.doi.org/10.21314/jor.2003.078.

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18

Horan, Stephen M. "Pricing Convertible Bonds Subject to Default Risk." CFA Digest 33, no. 2 (May 2003): 97. http://dx.doi.org/10.2469/dig.v33.n2.1298.

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19

Hung, Mao-Wei, and Jr-Yan Wang. "Pricing Convertible Bonds Subject to Default Risk." Journal of Derivatives 10, no. 2 (November 30, 2002): 75–87. http://dx.doi.org/10.3905/jod.2002.319197.

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20

Jónsson, Jón G., and Martin S. Fridson. "Forecasting Default Rates on High-Yield Bonds." Journal of Fixed Income 6, no. 1 (June 30, 1996): 69–77. http://dx.doi.org/10.3905/jfi.1996.408166.

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21

Bhanot, Karan. "Recovery and Implied Default in Brady Bonds." Journal of Fixed Income 8, no. 1 (June 30, 1998): 47–51. http://dx.doi.org/10.3905/jfi.1998.408231.

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22

Andritzky, Jochen R. "Default and Recovery Rates of Sovereign Bonds." Journal of Fixed Income 15, no. 2 (September 30, 2005): 97–108. http://dx.doi.org/10.3905/jfi.2005.591613.

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23

Kim, Hyeongjun, Hoon Cho, and Doojin Ryu. "Default Risk Characteristics of Construction Surety Bonds." Journal of Fixed Income 29, no. 1 (June 30, 2019): 77–87. http://dx.doi.org/10.3905/jfi.2019.29.1.077.

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24

Jing, Jiabao, Xiaomei Deng, Rashid Maqbool, Yahya Rashid, and Saleha Ashfaq. "Default Behaviors of Contractors under Surety Bond in Construction Industry Based on Evolutionary Game Model." Sustainability 12, no. 21 (November 4, 2020): 9162. http://dx.doi.org/10.3390/su12219162.

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Анотація:

In construction projects, some contractors will take default actions against the contracts to obtain maximum profits and damage the owners’ benefits as a result. In the construction markets where effective supervision is not performed well, contractors have more opportunities to default. Surety bonds were designed to solve the default problems and promote the sustainable development of the construction markets. This paper was proposed to explore the interactions between owners and contractors and investigate the influence of surety bonds (high penalty and low penalty) on the default behavior of contractors based on a static and dynamic evolutionary game analysis model. The results showed that applying the surety bond strategy is effective at decreasing the probability of the contractors’ default behavior when the credit system based on a surety bond system is well developed in the construction industry and the cost of the surety bond is low enough. Therefore, government strategies such as a better development of the credit system driven by surety bonds and the subsidies on surety bonds to reduce the cost can mitigate the contractors’ default behavior and keep the sustainability of the construction markets.

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25

Wang, Junbo, Chunchi Wu, and Frank X. Zhang. "Liquidity, Default, Taxes and Yields on Municipal Bonds." Finance and Economics Discussion Series 2005, no. 35 (2005): 1–51. http://dx.doi.org/10.17016/feds.2005.35.

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26

Skinner, Frank S. "A Trinomial Model of Bonds with Default Risk." Financial Analysts Journal 50, no. 2 (March 1994): 73–78. http://dx.doi.org/10.2469/faj.v50.n2.73.

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27

Babbel, David F., Craig Merrill, and William Panning. "Default Risk and the Effective Duration of Bonds." Financial Analysts Journal 53, no. 1 (January 1997): 35–44. http://dx.doi.org/10.2469/faj.v53.n1.2054.

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28

Magiera, Frank. "How Long Do Junk Bonds Spend in Default?" CFA Digest 29, no. 3 (August 1999): 21–22. http://dx.doi.org/10.2469/dig.v29.n3.509.

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29

Jacoby, Gady, and Gordon S. Roberts. "Default- and call-adjusted duration for corporate bonds." Journal of Banking & Finance 27, no. 12 (December 2003): 2297–321. http://dx.doi.org/10.1016/s0378-4266(02)00327-8.

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30

Arellano, Cristina, and Ananth Ramanarayanan. "Default and the Maturity Structure in Sovereign Bonds." Journal of Political Economy 120, no. 2 (April 2012): 187–232. http://dx.doi.org/10.1086/666589.

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31

Driessen, Joost. "Is Default Event Risk Priced in Corporate Bonds?" Review of Financial Studies 18, no. 1 (November 3, 2004): 165–95. http://dx.doi.org/10.1093/rfs/hhi009.

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32

Helwege, Jean, and Paul Kleiman. "Understanding Aggregate Default Rates of High-Yield Bonds." Journal of Fixed Income 7, no. 1 (June 30, 1997): 55–61. http://dx.doi.org/10.3905/jfi.1997.408202.

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33

Helwege, Jean. "How Long Do Junk Bonds Spend in Default?" Journal of Finance 54, no. 1 (February 1999): 341–57. http://dx.doi.org/10.1111/0022-1082.00107.

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34

Barone, Emilio, Giovanni Barone‐Adesi, and Antonio Castagna. "Pricing Bonds and Bond Options with Default Risk." European Financial Management 4, no. 2 (July 1998): 231–82. http://dx.doi.org/10.1111/1468-036x.00065.

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35

Jang, Hyun Jin, Young Hoon Na, and Harry Zheng. "Contingent convertible bonds with the default risk premium." International Review of Financial Analysis 59 (October 2018): 77–93. http://dx.doi.org/10.1016/j.irfa.2018.07.003.

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36

Wang, Junbo, Chunchi Wu, and Frank X. Zhang. "Liquidity, default, taxes, and yields on municipal bonds." Journal of Banking & Finance 32, no. 6 (June 2008): 1133–49. http://dx.doi.org/10.1016/j.jbankfin.2007.09.019.

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37

Emery, Kenneth M., and Richard Cantor. "Relative default rates on corporate loans and bonds." Journal of Banking & Finance 29, no. 6 (June 2005): 1575–84. http://dx.doi.org/10.1016/j.jbankfin.2004.06.029.

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38

Gumus, Inci. "DEBT DENOMINATION AND DEFAULT RISK IN EMERGING MARKETS." Macroeconomic Dynamics 17, no. 5 (April 18, 2012): 1070–95. http://dx.doi.org/10.1017/s1365100512000077.

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Анотація:

This paper develops a two-sector small open economy model to analyze the effects of the currency denomination of debt on default risk and interest rates in emerging market economies. Default risk is determined endogenously and depends on the incentives for repayment. The economy can borrow using tradable-denominated nonindexed bonds or bonds whose return is indexed to the domestic price index, which are used as proxies for foreign currency and domestic currency debt, respectively. The model predicts that foreign currency debt leads to lower default risk for high output levels and domestic currency debt reduces the default risk for low output levels. Although the effect of debt denomination on default risk changes with the output level, the default rate of the economy and average interest rates decline as domestic currency borrowing increases. In addition, domestic currency borrowing is found to reduce the countercyclicality of interest rates and the trade balance.

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39

Luo, Xin, and Jinlin Zhang. "Pricing Chinese Convertible Bonds with Default Intensity by Monte Carlo Method." Discrete Dynamics in Nature and Society 2019 (April 15, 2019): 1–8. http://dx.doi.org/10.1155/2019/8610126.

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Анотація:

This article proposes a new way to price Chinese convertible bonds by the Longstaff-Schwartz Least Squares Monte Carlo simulation. The default intensity and the volatility are the two important parameters, which are difficultly obtained in the emerging market, in pricing convertible bonds. By developing the Merton theory, we find a new effective method to get the theoretical value of the two parameters. In the pricing method, the default risk is described by the default intensity, and a default on a bond is triggered by the bottom Q(T) (default probability) percentile of the simulated stock prices at the maturity date. In the present simulation, a risk-free interest rate is used to discount the cash flows. So, the new pricing model is considered to tally with the general pricing rule under martingale measure. The empirical results of the CEB and the XIG convertible bonds by the proposed method are compared with those obtained by the credit spreads method. It is also found that the theoretical prices calculated by the method proposed in the article fit the market prices well, especially, in the long run tendency.

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40

Guerrieri, Veronica, and Péter Kondor. "Fund Managers, Career Concerns, and Asset Price Volatility." American Economic Review 102, no. 5 (August 1, 2012): 1986–2017. http://dx.doi.org/10.1257/aer.102.5.1986.

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Анотація:

We propose a model of delegated portfolio management with career concerns. Investors hire fund managers to invest their capital either in risky bonds or in riskless assets. Some managers have superior information on default risk. Based on past performance, investors update beliefs on managers and make firing decisions. This leads to career concerns that affect managers' investment decisions, generating a countercyclical “reputational premium.” When default risk is high, return on bonds is high to compensate uninformed managers for the high risk of being fired. As default risk changes over time, the reputational premium amplifies price volatility. (JEL G11, G12, G23, L84)

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41

Jacoby, Gady, Rose C. Liao, and Jonathan A. Batten. "Testing the Elasticity of Corporate Yield Spreads." Journal of Financial and Quantitative Analysis 44, no. 3 (June 2009): 641–56. http://dx.doi.org/10.1017/s002210900999007x.

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Анотація:

AbstractWhat drives the compensation demanded by investors in risky bonds? Longstaff and Schwartz (1995) predict that one key factor is the time-varying negative correlation between interest rates and the yield spreads on corporate bonds. However, the effects of callability and taxes also need to be considered in empirical analyses. Canadian bonds have no tax effects, yet, after controlling for callability, the correlation between riskless interest rates and corporate bond spreads remains negligible. Our results provide support for reduced-form models that explicitly define a default hazard process and untie the relation between the firm’s asset value and default probability.

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42

YIǦITBAŞIOǦLU, ALI BORA, and CAROL ALEXANDER. "PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY." International Journal of Theoretical and Applied Finance 09, no. 03 (May 2006): 415–53. http://dx.doi.org/10.1142/s0219024906003573.

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Анотація:

Arbitrage-free price bounds for convertible bonds are obtained assuming equity-linked hazard rates, stochastic interest rates and different assumptions about default and recovery behavior. Uncertainty in volatility is modeled using a stochastic volatility process for the common stock that lies within a band but makes few other assumptions about volatility dynamics. A non-linear multi-factor reduced-form equity-linked default model leads to a set of non-linear partial differential complementarity equations that are governed by the volatility path. Empirical results focus on call notice period effects. Increasingly pessimistic values for the issuer's substitution asset obtain as we introduce more uncertainty during the notice period. Uncertain in volatility, in particular, appears to be an important determinant of the call premium that is so often observed in issuer's call policies.

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43

Li, Peixin, Rongxi Zhou, and Yahui Xiong. "Can ESG Performance Affect Bond Default Rate? Evidence from China." Sustainability 12, no. 7 (April 7, 2020): 2954. http://dx.doi.org/10.3390/su12072954.

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Анотація:

Capturing determinants of bond default risks has aroused heated discussions ever since the “rigid payment” system collapsed in China. Within this context; this paper aims to clarify the relation between an issuer’s environmental; social; and corporate (ESG) performance and its bond default rate. We developed an ESG factors-embedded Logistic Regression model to empirically examine Chinese default bonds and outstanding industrial bonds from 2014 to 2019. Results indicate that the bond default rate is positively correlated with the company’s energy consumption and negatively correlated with its attention to social responsibilities; and corporate governance; in addition to its financial performances. In conclusion; to fully take ESG factors into consideration during the decision-making process and daily operations might improve stability and credibility of corporations in modern Chinese national context.

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44

Ping, Li, and Wang Xiaoxu. "Empirical Pricing of Chinese Defaultable Corporate Bonds Based on the Incomplete Information Model." Mathematical Problems in Engineering 2014 (2014): 1–5. http://dx.doi.org/10.1155/2014/286739.

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Анотація:

The default of Suntech Power made the year 2013 in China “the first year of default” of bond markets. People are also clearly aware of the default risk of corporate bonds and find that fair pricing for defaultable corporate bonds is very important. In this paper we first give the pricing model based on incomplete information, then empirically price the Chinese corporate bond “11 super JGBS” from Merton’s model, reduced-form model, and incomplete information model, respectively, and then compare the obtained prices with the real prices. Results show that all the three models can reflect the trend of bond prices, but the incomplete information model fits the real prices best. In addition, the default probability obtained from the incomplete information model can discriminate the credit quality of listed companies.

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45

Vu, Joseph D. V. "Survival and Default of Original Issue High-Yield Bonds." CFA Digest 33, no. 3 (August 2003): 32–33. http://dx.doi.org/10.2469/dig.v33.n3.1315.

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46

Trussel, John. "Default probability on corporate bonds: A contingent claims model." Review of Financial Economics 6, no. 2 (January 1997): 199–209. http://dx.doi.org/10.1016/s1058-3300(97)90006-9.

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47

CHANCE, DON M. "Default Risk and the Duration of Zero Coupon Bonds." Journal of Finance 45, no. 1 (March 1990): 265–74. http://dx.doi.org/10.1111/j.1540-6261.1990.tb05092.x.

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48

Jobst, Rainer, Ralf Kellner, and Daniel Rösch. "Bayesian loss given default estimation for European sovereign bonds." International Journal of Forecasting 36, no. 3 (July 2020): 1073–91. http://dx.doi.org/10.1016/j.ijforecast.2019.11.004.

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49

Moeller, Thomas, and Carlos A. Molina. "Survival and Default of Original Issue High-Yield Bonds." Financial Management 32, no. 1 (2003): 83. http://dx.doi.org/10.2307/3666205.

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50

Aguiar, Mark, Manuel Amador, Hugo Hopenhayn, and Iván Werning. "Take the Short Route: Equilibrium Default and Debt Maturity." Econometrica 87, no. 2 (2019): 423–62. http://dx.doi.org/10.3982/ecta14806.

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Анотація:

We study the interactions between sovereign debt default and maturity choice in a setting with limited commitment for repayment as well as future debt issuances. Our main finding is that, under a wide range of conditions, the sovereign should, as long as default is not preferable, remain passive in long‐term bond markets, making payments and retiring long‐term bonds as they mature but never actively issuing or buying back such bonds. The only active debt‐management margin is the short‐term bond market. We show that any attempt to manipulate the existing maturity profile of outstanding long‐term bonds generates losses, as bond prices move against the sovereign. Our results hold regardless of the shape of the yield curve. The yield curve captures the average costs of financing at different maturities but is misleading regarding the marginal costs.

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