{"title":"A Practical Guide to the Valuation of Coupon-Bearing Fixed Income Securities","authors":"R. Jarrow, Donald R. van Deventer","doi":"10.3905/jfi.2023.1.157","DOIUrl":null,"url":null,"abstract":"The purpose of this article is to illustrate the use of reduced-form credit risk models for valuing defaultable coupon-bearing securities, such as risky sovereign bonds, corporate bonds, and retail loans like auto loans and mortgage loans. The authors focus on issues in the application of these models and not the mathematical derivations of the formulas employed.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"33 1","pages":"80 - 87"},"PeriodicalIF":0.0000,"publicationDate":"2023-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2023.1.157","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
The purpose of this article is to illustrate the use of reduced-form credit risk models for valuing defaultable coupon-bearing securities, such as risky sovereign bonds, corporate bonds, and retail loans like auto loans and mortgage loans. The authors focus on issues in the application of these models and not the mathematical derivations of the formulas employed.
期刊介绍：
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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