Empirically Effective Government and Corporate Bond Pricing Models
Yield Curves and Default Curves
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Beschreibung
This book presents a comprehensive, innovative, integrated, and empirically effective system for cross-sectionally analyzing prices of government bonds (GBs) and corporate bonds (CBs) to timely obtain practically useful information on yield curves and default curves. The system consists of (1) GB-pricing model that values coupon GB and gives yield curve, (2) credit risk rating model of each CB, and (3) CB-pricing model that gives default curve or equivalently term structure of default probabilities (TSDP), which prices credit default swap (CDS). And in view of data science, the empirical effectiveness of the modeling concept, formulated models with price correlations, and estimation procedures in the system is verified with monthly data through various applications of the models to practically important analyses on prices of Japanese GBs and CBs, the USA GBs and CBs, and European GBs (EUGBs) where GBs of Germany, France, Italy, Spain, and Greece. Fact, both yield curves and default curves over a future time horizon. The system enables us to get practically and timely predictive information for making decisions in investment, formation of effective bond portfolio, asset and liability management (ALM), and risk management of yield curve and default curve in banks, trust funds, pension funds, life insurance firms, among others.
This book presents a comprehensive, innovative, integrated, and empirically effective system for cross-sectionally analyzing prices of government bonds (GBs) and corporate bonds (CBs) to timely obtain practically useful information on yield curves and default curves. The system consists of (1) GB-pricing model that values coupon GB and gives yield curve, (2) credit risk rating model of each CB, and (3) CB-pricing model that gives default curve or equivalently term structure of default probabilities (TSDP), which prices credit default swap (CDS). And in view of data science, the empirical effectiveness of the modeling concept, formulated models with price correlations, and estimation procedures in the system is verified with monthly data through various applications of the models to practically important analyses on prices of Japanese GBs and CBs, the USA GBs and CBs, and European GBs (EUGBs) where GBs of Germany, France, Italy, Spain, and Greece. Fact, both yield curves and default curves over a future time horizon. The system enables us to get practically and timely predictive information for making decisions in investment, formation of effective bond portfolio, asset and liability management (ALM), and risk management of yield curve and default curve in banks, trust funds, pension funds, life insurance firms, among others.
Gives a unified description of data-scientific modelling for credit risk with current market prices Presents an empirically valid model of current pricing of “individual” corporate bonds and credit-risk products Explains the derivation of the term structure of default probabilities of each bond or its issuer or industry
Autor*in
Takeaki Kariya
Themen in »Empirically Effective Government and Corporate Bond Pricing Models«
Pricing Individual Corporate Bonds Default Probability Normative No-Arbitrage Theory Optimality of Bond Investment Portfolio Agency Ratings Current Term Structures of Default Probabilities of Bond Issuers Loan Portfolio Alternative Credit Rating Forward-Looking Modelling Current Cross-Sectional Price Data Data-ScientificValuation