A Macro-financial Analysis of the Corporate Bond Market PDF Download
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Author: Hans Dewachter
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
Author: Hans Dewachter
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
Get Book Here
Book Description
Author:
Publisher:
ISBN: 9789289933193
Category :
Languages : en
Pages : 30
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Book Description
We assess the contribution of economic and financial factors in the determination of euro area corporate bond spreads over the period 2001-2015. The proposed multi-market, no-arbitrage affine term structure model is basde on the methodology proposed by Dewachter, Iana, Lyrio and Perea (2015). We model jointly the risk-free curve, measured by overnight index swap (OIS) rates, and the corporate yield cuves for two rating classes (A and BBB). The model includes four spanned and six unspanned factors. We find that, in general, both economic (real activity and ination) and financial factors. We find that, in general, both economic (real activity and ination) and financial factors (proxying risk aversion, fight to liquidity and general financial markets stress) play a significant role in the determination of the spanned factors and hence in the dynamics of the risk-free yield curve and corporate bond spreads. Across the risk-free OIS curve, macroeconomic and financial factors are each responsible on average for explaining 30 and 65 percent of yield variation, respectively. For A-and BBB- rated corporate debt, the selected financial variables explainon average 50 percent of the variation in corporate spreads during the las decade.
Author: Ms.Diana Ayala Pena
Publisher: International Monetary Fund
ISBN: 1513539205
Category : Business & Economics
Languages : en
Pages : 45
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Book Description
This paper studies the determinants of shifts in debt composition among EM non-financial corporates. We show that institutions and macro fundamentals create an enabling environment for bond market development. During the recent boom episode, however, global cyclical factors accounted for most of the variation of bond shares in total corporate debt. The sensitivity to global factors appears to vary with relative bond market size—which we interpret to be associated with liquidity and easy entry and exit—rather than local fundamentals. Foreign bank linkages help explain why bond markets increasingly substituted for banks in channeling liquidity to EMs. Our results highlight the risk of capital flow reversal in EMs that benefited from the upturn in the global financial cycle mostly due to their liquid markets rather than strong fundamentals.
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0471446394
Category : Business & Economics
Languages : en
Pages : 336
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Book Description
Praise for Managing a Corporate Bond Portfolio "Crabbe and Fabozzi's Managing a Corporate Bond Portfolio is a refreshingly good book on the neglected topic in fixed income portfolio management. If you want to understand the latest thinking in corporate bonds, what drives prices and why, read this book. You will emerge with knowledge that will help you get an edge in the competitive investing arena." -Tim Opler Director, Financial Strategy Group, CSFB "A practitioner's guide . . . a creative, comprehensive, and practical book that addresses the myriad of challenges facing managers of corporate bond portfolios. The chapter on liquidity, trading, and trading costs is a must read." -Mary Rooney Head of Credit Strategy, Merrill Lynch "As a Senior Portfolio Manager responsible for managing billions of dollars invested in fixed income product during the mid-1990s, Lee Crabbe was the one Wall Street strategist that I would read every week to help me figure out where value was in the corporate bond market, and for insightful and easy-to-understand special reports that educated me and most investors on the risks and opportunities inherent in new structures and subordinated products. Fortunately for me and investors, Lee Crabbe and Frank Fabozzi have written this book, which compiles much of their previous work on corporate bond valuation, along with new features that are a must read, especially in light of the volatile times in the corporate bond market over the past few years. For portfolio managers, analysts, traders, and even strategists, if there is one book in your bookshelf that you should have on corporate bond portfolio management, it is this one." -William H. Cunningham Managing Director, Director of Credit Strategy, J.P. Morgan Securities Inc. www.wileyfinance.com
Author: Arne Wilkes
Publisher: Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
ISBN: 9783631606049
Category : Bond market
Languages : en
Pages : 0
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Book Description
Credit spreads express how markets evaluate the riskiness of corporate bonds compared to risk-free investments. Since credit spreads have been highly volatile especially during the last decade it is important for academics and practitioners alike to understand the dynamic interdependencies between credit spreads and their determinants. Based on a sample of European corporate bonds and different macroeconomic variables the author analyzes the determinants of credit spreads during the period of 1999 to 2009. With a macro-finance term structure model he shows that the European corporate bond market is largely integrated with some remaining segmentation. Furthermore, panel regressions yield that declining liquidity leads to a significant widening of credit spreads especially during the recent financial crisis. Finally, he demonstrates based on a cointegration analysis that a long-term relationship exists between credit spreads and their determinants and that credit spreads were significantly overpriced after the collapse of Lehman Brothers but have almost returned to equilibrium towards the end of 2009.
Author: Frank J. Fabozzi
Publisher: MIT Press
ISBN: 0262367424
Category : Business & Economics
Languages : en
Pages : 937
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Book Description
The updated edition of a widely used textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategy. This new edition of a widely used textbook covers types of bonds and their key features, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. It includes real-world examples and practical applications of principles as provided by third-party commercial vendors. This tenth edition has been substantially updated, with two new chapters covering the theory and history of interest rates and the issues associated with bond trading. Although all chapters have been updated, particularly those covering structured products, the chapters on international bonds and managing a corporate bond portfolio have been completely revised. The book covers the basic analytical framework necessary to understand the pricing of bonds and their investment characteristics; sectors of the debt market, including Treasury securities, corporate bonds, municipal bonds, and structured products (residential and commercial mortgage-backed securities and asset-backed securities); collective investment vehicles; methodologies for valuing bonds and derivatives; corporate bond credit risk; portfolio management, including the fundamental and quantitative approaches; and instruments that can be used to control portfolio risk.
Author: Hans Dewachter
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: F. Hagenstein
Publisher: Springer
ISBN: 0230523293
Category : Business & Economics
Languages : en
Pages : 355
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Book Description
Investing in Corporate Bonds and Credit Risk is a valuable tool for any corporate bond investor. All the most recent developments and strategies in investment in corporate bonds are analyzed included with qualitative and quantitative approaches. A complete and up-to-date investment process is developed through the book, using many examples taken from banking practice. The growing significance of derivative instruments and credit diversification to bond investors is also analyzed in detail.
Author: OECD
Publisher: OECD Publishing
ISBN: 9264621598
Category :
Languages : en
Pages : 66
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Book Description
This report provides an assessment of the Swedish corporate bond market and policy recommendations to improve its functioning, drawing from detailed empirical analysis and in-depth interviews with market participants.
Author: Moorad Choudhry
Publisher: John Wiley & Sons
ISBN: 1118178998
Category : Business & Economics
Languages : en
Pages : 603
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Book Description
Moorad continues to demonstrate his financial expertise, and shows us why he is one of the best-selling authors in our industry today. - Eric Subliskey, Vice President, Short-Term Fixed Income JPMorgan Securities inc., New York An invaluable reference work for anyone connected with the corporate debt markets, be they issuer, investor or trader. Dr Choudhry writes in his trademark accessible style and provides the reader with a wealth of data and insight on the latest market products and techniques. Highly-recommended. - Ketul Tanna, Assistant Vice President, Market Risk Management JPMorgan Chase Bank, London The Predominant fixed income author is back with this updated version of Corporate Bond Markets. A Comprehensive work on fixed income products and applications, this book is a valuable reference text and teaching tool. Why go anywhere else for bond market information? - Rod Pienaar, Research Partner YieldCurve.com
