Collin-Dufresne and Goldstein(2001) show analytically that a firm's expected future leverage importantly influences thespread on its bonds. We use capital structure theory to construct proxies for investors'expectations about future leverage changes and find that these significantly affect bondyields, ...
Specifically, we find that the negative effect of enterprise digital transformation on bond credit spread is more significant in state-owned enterprises (SOEs), better internal governance samples proxy as a non-CEO duality or higher proportion of independent directors, and better external governance ...
First, credit spreads relate asymmetrically to the return on the bond hedging portfolio. When market conditions are risky, the return on the bond hedging portfolio is positive and credit spreads increase significantly. During unchanged or less risky market conditions, the return on the bond hedging ...
Event Risk事件风险 比如说risk of a large increase in leverage Credit Risk信用风险 债券发行方无法履行义务 Credit Spread Risk信用差价风险 具体解释可以参考如何理解 Credit Spread Risk? Bond Market Risk: Parallel Term Structure Shifts(期限结构的平移) 讨论以下几种类型 不含权债券,线性敏感性 不含权债券,非...
有效久期是指 , 在债券信用利差 ( Credit spread ) 没有变化的情况下 , 基准收益率曲线平行移动时 , 债券价格的敏感性 。 债券3为不含权债券 , 当利率的变动时 , 不含权债券的有效久期变化很小 。 当利率的上升时 , 对于Callable bond , 其Embedded call option的价值下跌 , 会变成虚值期权 , 从而增加了...
Leveraging a corporate bond pricing model, we reveal that ESG rating confusion widens the bond spread. Analyzing data from China, we find that both primary and secondary bond markets are affected, with the latter experiencing a more significant impact. Our study emphasizes the role of information ...
债券息差法(bond spread) 是以信用评级为基础的。该方法的主要逻辑是, 流动性过剩将会降低投资 者的风险规避程度, 从而政 … wenku.baidu.com|基于4个网页 2. 债券利差 和最常用的债券利差(bond spread)不同,本文采用信用违约互换的交易价格(credit default swap premiums)作为汽车制造公司违 … ...
因为Li认为的经济增长要好于整个市场的预期,则当前整个市场给了High-yield bond一个更大的Credit Spread,换句话说Li认为合理的Credit spread要小于当前市场上给出的Spread,因此Li认为当前High-yield bond是被低估的,应该买入。对于B选项,如果预期Interest rate会下跌,应该至少投investment-grade bond,因为high-yield ...
The pricing of convertible bonds within the Tsiveriotis and Fernandes framework with exogenous credit spread: Empirical analysis Despite a huge popularity of convertible bonds and a variety of different pricing models, very little empirical research on their valuation has been undert... V Gushchin,E...
Bond CDS Basis = CDS spread - Bond Implied Credit Spread 影响bond basis 大小的主要有以下因素: 违约定义。 CDS对标的物认可的违约事件可有破产,延付,重组,等等, 参考ISDA的master agreement确定。这可能与导致债券违约与清算的事件不同。 delivery option. CDS如果采取实物交割,通常有所谓的cheapest-to-deliver...