Modelling and calibration of credit-risky bonds

This thesis examines the corporate bond market in Japan during 1996-2001. The objective is to collect data, test and analyze the predictive ability of the Jarrow, Lando and Turnbull proposed Markov model for the term structure of credit risky spreads with the Kijima - Komorobayashi adjustment, in th...

وصف كامل

محفوظ في:
التفاصيل البيبلوغرافية
المؤلفون الرئيسيون: Spencer, Hewick Geoffrey, Khew, Glender Cesar Tsien Loong, Wong, Beng Soon
مؤلفون آخرون: Cheang, Gerald Hock Lye
التنسيق: Theses and Dissertations
منشور في: 2008
الموضوعات:
الوصول للمادة أونلاين:http://hdl.handle.net/10356/7316
الوسوم: إضافة وسم
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الوصف
الملخص:This thesis examines the corporate bond market in Japan during 1996-2001. The objective is to collect data, test and analyze the predictive ability of the Jarrow, Lando and Turnbull proposed Markov model for the term structure of credit risky spreads with the Kijima - Komorobayashi adjustment, in the determination of default probability within the Japanese market. We also examine the robustness and sensitivity of the results with respect to changes in recovery rates and spot interest rates.