A Certainty Eqivalent Approach to Municipal Bond Default Risk Estimation
This paper extends the risk-neutrality default model of municipal bonds to consider the effect of risk aversion on the estimation of default probability. A model is proposed to separate the default risk assessment from the investor's risk aversion. Empirical results show that the risk-neutralit...
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Institutional Knowledge at Singapore Management University
1991
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sg-smu-ink.lkcsb_research-18112010-09-23T06:24:04Z A Certainty Eqivalent Approach to Municipal Bond Default Risk Estimation WU, Chunchi This paper extends the risk-neutrality default model of municipal bonds to consider the effect of risk aversion on the estimation of default probability. A model is proposed to separate the default risk assessment from the investor's risk aversion. Empirical results show that the risk-neutrality model consistently overestimates the default probability but that the magnitude of this overestimate is generally small and statistically insignificant. 1991-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/812 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Business |
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Business WU, Chunchi A Certainty Eqivalent Approach to Municipal Bond Default Risk Estimation |
| description |
This paper extends the risk-neutrality default model of municipal bonds to consider the effect of risk aversion on the estimation of default probability. A model is proposed to separate the default risk assessment from the investor's risk aversion. Empirical results show that the risk-neutrality model consistently overestimates the default probability but that the magnitude of this overestimate is generally small and statistically insignificant. |
| format |
text |
| author |
WU, Chunchi |
| author_facet |
WU, Chunchi |
| author_sort |
WU, Chunchi |
| title |
A Certainty Eqivalent Approach to Municipal Bond Default Risk Estimation |
| title_short |
A Certainty Eqivalent Approach to Municipal Bond Default Risk Estimation |
| title_full |
A Certainty Eqivalent Approach to Municipal Bond Default Risk Estimation |
| title_fullStr |
A Certainty Eqivalent Approach to Municipal Bond Default Risk Estimation |
| title_full_unstemmed |
A Certainty Eqivalent Approach to Municipal Bond Default Risk Estimation |
| title_sort |
certainty eqivalent approach to municipal bond default risk estimation |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1991 |
| url |
https://ink.library.smu.edu.sg/lkcsb_research/812 |
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1770569701499338752 |