Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures

Economy – Quantitative Finance – Pricing of Securities

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

27 pages, 10 figures

Scientific paper

In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash flow valuation assumption. We demonstrate that the resulting estimates are significantly more robust and remain meaningful even when applied to deeply distressed bonds. We also suggest a new definition of credit bond duration and convexity which remains consistent for distressed bonds and introduce new relative value measures for individual bonds in the context of sector or issuer credit curves, as well as for the basis between cash bonds and credit default swaps (CDS).

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-362989

All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.