Pricing corporate bonds with interest rates following double square-root process
Publication in refereed journal

香港中文大學研究人員

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摘要This paper develops a corporate bond pricing model following the structural approach in which the dynamics of the instantaneous risk-free interest rate is governed by the double square-root (DSR) process. Credit spreads generated from the pricing model depend explicitly upon the levels of interest rates via the non-linear effect arising from the DSR process. Given a positive correlation between the interest rates and leverage ratios, the credit spreads generated by the pricing model have negative relationship with the interest rates, that is consistent with empirical findings using bond market data during 2008-2013 when interest rates were low.
著者Lo CF, Hui CH
期刊名稱INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING
出版年份2016
月份9
卷號3
期次3
出版社WORLD SCIENTIFIC PUBL CO PTE LTD
頁次1650015
國際標準期刊號2424-7863
電子國際標準期刊號2424-7944
語言英式英語
關鍵詞Corporate bond pricing model, stochastic interest rate, leverage ratio
Web of Science 學科類別Business, Finance;Business & Economics

上次更新時間 2020-07-08 於 01:56