![Risk factor analysis and portfolio immunization in the corporate bond market [An article from: European Journal of Operational Research]](https://www.ebooknetworking.net/books/B00/0RR/bigB000RR2PVI.jpg)
Risk factor analysis and portfolio immunization in the corporate bond market [An article from: European Journal of Operational Research]
Book Details
PublisherElsevier
ISBN / ASINB000RR2PVI
ISBN-13978B000RR2PV6
AvailabilityAvailable for download now
Sales Rank99,999,999
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from European Journal of Operational Research, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
In this paper we develop a multi-factor model for the yields of corporate bonds. The model allows the analysis of factors which influence the changes in the term structure of corporate bonds. More than 98% of the variability in the corporate bond market is captured by the model, which is then used to develop credit risk immunization strategies for corporate bonds of multiple credit ratings. Empirical results are given for the US market using data for the period 1992-1999.
Description:
In this paper we develop a multi-factor model for the yields of corporate bonds. The model allows the analysis of factors which influence the changes in the term structure of corporate bonds. More than 98% of the variability in the corporate bond market is captured by the model, which is then used to develop credit risk immunization strategies for corporate bonds of multiple credit ratings. Empirical results are given for the US market using data for the period 1992-1999.
