A framework for valuing corporate securities
J Ericsson, J Reneby - Applied Mathematical Finance, 1998 - Taylor & Francis
We suggest a methodology for valuing corporate securities that allows the straightforward
derivation of closed form solutions for complex scenarios. The tractability of the framework …
derivation of closed form solutions for complex scenarios. The tractability of the framework …
The valuation of corporate liabilities: Theory and tests
J Ericsson, J Reneby - 2001 - econstor.eu
We develop a structural bond pricing approach and implement it on a large panel of US
industrial bonds using an efficient maximum likelihood methodology. We evaluate the …
industrial bonds using an efficient maximum likelihood methodology. We evaluate the …
Historic changes in the high yield bond market
FK Reilly, DJ Wright, JA Gentry - Journal of Applied Corporate …, 2009 - Wiley Online Library
In a history that now stretches about four decades, the high yield (HY) market has
experienced growth in issuance and out‐standings that is remarkable both for its level …
experienced growth in issuance and out‐standings that is remarkable both for its level …
[PDF][PDF] Returns-Based style analysis of high-yield bonds
DL Domian, W Reichenstein - Journal of Fixed Income, 2008 - researchgate.net
We present returns-based style analysis of four high-yield (HY) bond indexes and 60 HY
bond funds. It is widely accepted that HY bonds are hybrid assets, with returns sensitive to …
bond funds. It is widely accepted that HY bonds are hybrid assets, with returns sensitive to …
[BOOK][B] Beyond Junk Bonds: Expanding High Yield Markets
G Yago, S Trimbath - 2003 - books.google.com
Since financial myths exploded in the 1980s, the perspective of time creates a unique
opportunity to update and expand the analysis begun in Glenn Yago's 1991 book, Junk …
opportunity to update and expand the analysis begun in Glenn Yago's 1991 book, Junk …
High-yield bond mutual funds: performance, January effects, and other surprises
A Gudikunst, J McCarthy - The Journal of Fixed Income, 1997 - search.proquest.com
A study provides insight into the investment performance of low-grade, high-yield corporate
bond mutual funds during the period 1980-1995, which includes the period the high-yield …
bond mutual funds during the period 1980-1995, which includes the period the high-yield …
Political Risk Insurance
D Galvao - The Journal of Structured Finance, 2001 - pm-research.com
Although political risks might seem isolated and rare, their implications are quite alive and
profound in the everyday social and economic activities of a nation. Assessing political risk …
profound in the everyday social and economic activities of a nation. Assessing political risk …
[PDF][PDF] INDEXING THE MUNICIPAL MARKET--ADDRESSING COMPLEXITIES OF THE WORLD'S FOURTH LARGEST MARKET
MH Bessendorf - northinfo.com
Kenny S&P has begun to introduce a family of municipal bond indices which will describe
and analyze the major segments of the municipal market 1llis development is our response …
and analyze the major segments of the municipal market 1llis development is our response …
The Valuation of Corporate Liabilities: Theory and Tests
J Reneby, J Ericsson - Available at SSRN 275841, 2002 - papers.ssrn.com
We develop a structural bond pricing approach and implement it on a large panel of US
industrial bonds using an efficient maximum likelihood methodology. We evaluate the …
industrial bonds using an efficient maximum likelihood methodology. We evaluate the …
[CITATION][C] A review of hedge fund performance benchmarks
D McCarthy, RB Spurgin - The Journal of Alternative …, 1998 - jai.pm-research.com
Benchmarks are used for two main purposes. One is to serve as a proxy for the return to
some asset class. This proxy can be used to decide how to allocate investments among …
some asset class. This proxy can be used to decide how to allocate investments among …