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Modeling Expected Return on Defaultable Bonds.
- Source :
- Journal of Fixed Income; Sep2002, Vol. 12 Issue 2, p69, 13p, 3 Graphs
- Publication Year :
- 2002
-
Abstract
- Describes a model of expected return on defaultable bonds in the U.S. Types of the default risk premium illustrated in reduced-form models; Similarity between default-free and defaultable bond pricing; Reduction of the issue of expected return to a standard calculation using estimated model parameters.
- Subjects :
- BONDS (Finance)
DEFAULT (Finance)
RATE of return
Subjects
Details
- Language :
- English
- ISSN :
- 10598596
- Volume :
- 12
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Journal of Fixed Income
- Publication Type :
- Academic Journal
- Accession number :
- 7528757
- Full Text :
- https://doi.org/10.3905/jfi.2002.319326