有息固定收益证券估值实用指南

Journal of Fixed Income Pub Date : 2023-02-27 DOI:10.3905/jfi.2023.1.157

R. Jarrow, Donald R. van Deventer

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引用次数: 0

摘要

本文的目的是说明如何使用简化形式的信用风险模型来评估可违约的息票证券，如高风险的主权债券、公司债券和汽车贷款和抵押贷款等零售贷款。作者关注的是这些模型的应用问题，而不是所用公式的数学推导。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A Practical Guide to the Valuation of Coupon-Bearing Fixed Income Securities

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.

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

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.