公司债券:固定票面与随机票面--实证研究

IF 1.5 Q3 BUSINESS, FINANCE Journal of Asset Management Pub Date : 2024-02-22 DOI:10.1057/s41260-023-00343-y
Belal Ehsan Baaquie, Muhammad Mahmudul Karim
{"title":"公司债券:固定票面与随机票面--实证研究","authors":"Belal Ehsan Baaquie, Muhammad Mahmudul Karim","doi":"10.1057/s41260-023-00343-y","DOIUrl":null,"url":null,"abstract":"<p>This paper studies a model proposed by Baaquie (Phys A Stat Mech Appl 541:123367, 2020b) for which a corporate bond pays coupons that are stochastic—depending on the valuation of the issuer. It is shown that by considering bonds with stochastic coupons that are ‘equivalent’ to fixed coupon bonds (defined in the paper), the price of the fixed coupon bond can be accurately explained. The proposed model of stochastic coupons has a built-in hedge for the issuer—and has the feature of profit and loss sharing between investor and issuer making it a viable instrument for Islamic finance.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"129 1","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2024-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Corporate bonds: fixed versus stochastic coupons—an empirical study\",\"authors\":\"Belal Ehsan Baaquie, Muhammad Mahmudul Karim\",\"doi\":\"10.1057/s41260-023-00343-y\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>This paper studies a model proposed by Baaquie (Phys A Stat Mech Appl 541:123367, 2020b) for which a corporate bond pays coupons that are stochastic—depending on the valuation of the issuer. It is shown that by considering bonds with stochastic coupons that are ‘equivalent’ to fixed coupon bonds (defined in the paper), the price of the fixed coupon bond can be accurately explained. The proposed model of stochastic coupons has a built-in hedge for the issuer—and has the feature of profit and loss sharing between investor and issuer making it a viable instrument for Islamic finance.</p>\",\"PeriodicalId\":45953,\"journal\":{\"name\":\"Journal of Asset Management\",\"volume\":\"129 1\",\"pages\":\"\"},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2024-02-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Asset Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1057/s41260-023-00343-y\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Asset Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1057/s41260-023-00343-y","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

摘要

本文研究了 Baaquie(Phys A Stat Mech Appl 541:123367, 2020b)提出的一个模型,该模型中公司债券的票息是随机的--取决于发行人的估值。结果表明,通过考虑 "等同于 "固定息票债券(本文定义)的随机息票债券,可以准确解释固定息票债券的价格。所提出的随机息票模型为发行人提供了一个内置的对冲工具,并且具有投资者与发行人之间盈亏共担的特点,使其成为伊斯兰金融的一种可行工具。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

摘要图片

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Corporate bonds: fixed versus stochastic coupons—an empirical study

This paper studies a model proposed by Baaquie (Phys A Stat Mech Appl 541:123367, 2020b) for which a corporate bond pays coupons that are stochastic—depending on the valuation of the issuer. It is shown that by considering bonds with stochastic coupons that are ‘equivalent’ to fixed coupon bonds (defined in the paper), the price of the fixed coupon bond can be accurately explained. The proposed model of stochastic coupons has a built-in hedge for the issuer—and has the feature of profit and loss sharing between investor and issuer making it a viable instrument for Islamic finance.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
期刊介绍: The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics
期刊最新文献
Applications of derivatives for portfolio risk management Downside risk reduction using regime-switching signals: a statistical jump model approach Applications of CDS to bond portfolio management Applications of FX derivatives to portfolio management In the shadow of country risk: asset pricing model of emerging market corporate bonds
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1