Bond Valuation: Modelling Downgrade Risk and Default Risk Based on Rating Migration Variation As Uncertainty Over the Investment Horizon Through Optimization

SSRN Electronic Journal ◽

10.2139/ssrn.3463594 ◽

2019 ◽

Author(s):

Brian Barnard

Keyword(s):

Default Risk ◽

Investment Horizon ◽

Bond Valuation

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Bond-Valuation and Default-Risk Re-examined: A Post Reduced-Form Model Based on Integer Migration and Portfolio Migration

SSRN Electronic Journal ◽

10.2139/ssrn.3427127 ◽

2019 ◽

Author(s):

Brian Barnard

Keyword(s):

Default Risk ◽

Reduced Form ◽

Model Based ◽

Bond Valuation ◽

Form Model ◽

Reduced Form Model

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Mortgage Choice, Separating Equilibrium and Default Risk

10.15396/eres1997_129 ◽

1997 ◽

Keyword(s):

Default Risk ◽

Mortgage Choice ◽

Separating Equilibrium

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Valuing Credit Default Swaps I: No Counterparty Default Risk

CFA Digest ◽

10.2469/dig.v31.n2.888 ◽

2001 ◽

Vol 31 (2) ◽

pp. 91-92 ◽

Cited By ~ 1

Author(s):

Bruce D. Phelps

Keyword(s):

Default Risk ◽

Credit Default Swaps ◽

Credit Default

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Portfolio Allocation and the Investment Horizon

CFA Digest ◽

10.2469/dig.v27.n4.183 ◽

1997 ◽

Vol 27 (4) ◽

pp. 68-69

Keyword(s):

Portfolio Allocation ◽

Investment Horizon

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Equity Allocations and the Investment Horizon: A Total Portfolio Approach

CFA Digest ◽

10.2469/dig.v33.n1.1228 ◽

2003 ◽

Vol 33 (1) ◽

pp. 64-66

Author(s):

Joseph Spivack

Keyword(s):

Investment Horizon ◽

Portfolio Approach

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Impact of Correlated Default Risk on Credit Portfolios

CFA Digest ◽

10.2469/dig.v32.n3.1141 ◽

2002 ◽

Vol 32 (3) ◽

pp. 97-98

Author(s):

Stephen M Horan

Keyword(s):

Default Risk

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Real Misconceptions about Optimal Equity Allocation and Investment Horizon

Financial Analysts Journal ◽

10.2469/faj.v54.n4.2190 ◽

1998 ◽

Vol 54 (4) ◽

pp. 5-5 ◽

Cited By ~ 1

Author(s):

Mark P. Kritzman

Keyword(s):

Investment Horizon

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Corporate default risk modeling under distressed economic and financial conditions in a developing economy

The Journal of Credit Risk ◽

10.21314/jcr.2020.267 ◽

2020 ◽

Author(s):

Frank Ranganai Matenda ◽

Mabutho Sibanda ◽

Eriyoti Chikodza ◽

Victor Gumbo

Keyword(s):

Default Risk ◽

Developing Economy ◽

Risk Modeling ◽

Corporate Default ◽

Financial Conditions

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Default Risk Explains Main Part of Corporate Credit Spreads: Evidence from Multi-Period Non-Merton Model

SSRN Electronic Journal ◽

10.2139/ssrn.1087888 ◽

2010 ◽

Author(s):

Leonid V. Philosophov ◽

Vladimir L. Philosophov

Keyword(s):

Default Risk ◽

Main Part ◽

Credit Spreads ◽

Merton Model ◽

Corporate Credit

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Default Risk and Collateral in the Absence of Commitment

SSRN Electronic Journal ◽

10.2139/ssrn.1148963 ◽

2008 ◽

Cited By ~ 4

Author(s):

David C. Mills ◽

Robert R. Reed III

Keyword(s):

Default Risk

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