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...

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Main Authors:	Spencer, Hewick Geoffrey, Khew, Glender Cesar Tsien Loong, Wong, Beng Soon
Other Authors:	Cheang, Gerald Hock Lye
Format:	Theses and Dissertations
Published:	2008
Subjects:	DRNTU::Business::Finance::Fixed income::Bonds
Online Access:	http://hdl.handle.net/10356/7316
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Institution:	Nanyang Technological University

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spelling	sg-ntu-dr.10356-73162024-01-12T10:20:53Z Modelling and calibration of credit-risky bonds Spencer, Hewick Geoffrey Khew, Glender Cesar Tsien Loong Wong, Beng Soon Cheang, Gerald Hock Lye Nanyang Business School DRNTU::Business::Finance::Fixed income::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 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. Master of Science (Financial Engineering) 2008-09-18T07:43:36Z 2008-09-18T07:43:36Z 2003 2003 Thesis http://hdl.handle.net/10356/7316 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Finance::Fixed income::Bonds
spellingShingle	DRNTU::Business::Finance::Fixed income::Bonds Spencer, Hewick Geoffrey Khew, Glender Cesar Tsien Loong Wong, Beng Soon Modelling and calibration of credit-risky bonds
description	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.
author2	Cheang, Gerald Hock Lye
author_facet	Cheang, Gerald Hock Lye Spencer, Hewick Geoffrey Khew, Glender Cesar Tsien Loong Wong, Beng Soon
format	Theses and Dissertations
author	Spencer, Hewick Geoffrey Khew, Glender Cesar Tsien Loong Wong, Beng Soon
author_sort	Spencer, Hewick Geoffrey
title	Modelling and calibration of credit-risky bonds
title_short	Modelling and calibration of credit-risky bonds
title_full	Modelling and calibration of credit-risky bonds
title_fullStr	Modelling and calibration of credit-risky bonds
title_full_unstemmed	Modelling and calibration of credit-risky bonds
title_sort	modelling and calibration of credit-risky bonds
publishDate	2008
url	http://hdl.handle.net/10356/7316
_version_	1789483062045704192

Modelling and calibration of credit-risky bonds

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