Back to Search Start Over

Modeling Expected Return on Defaultable Bonds.

Authors :
Fan Yu
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.

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