Thomas S. Y. Ho and Sang Bin Lee Volume 2, Number 2, Second Quarter 2004 This paper proposes a valuation model of a bond with default risk. Extending from the Brennan and Schwartz real option model of a firm, the paper treats the firm as a contingent claim on the business risk. This paper introduces… Read more
Second Quarter (2004)
BOOK REVIEWS: The Bond King: Investment Secrets From PIMCO’s Bill Gross / Portfolio Theory and Performance Analysis
Volume 2, Number 2, Second Quarter 2004 The Bond King: Investment Secrets From Pimco’s Bill Gross Timothy Middleton Reviewed by Bruce Grantier Portfolio Theory and Performance Analysis Noel Amenc and Veronique Le Sourd Reviewed by Craig W. French View PDF… Read more
CASE STUDIES: Fiduciary Funds
Jack L. Treynor Volume 2, Number 2, Second Quarter 2004 View PDF… Read more
Correlated Default Processes: A Criterion-Based Copula Approach
Sanjiv R. Das and Gary Geng Volume 2, Number 2, Second Quarter 2004 Modeling correlated default risk is a new phenomenon currently sweeping through the credit markets. In this paper, we develop a methodology to model, simulate and assess the joint default process of hundreds of issuers. Our study is based on a data set… Read more
Non-Parametric Analysis of Rating Transition and Default Data
Peter Fledelius, David Lando and Jens Perch Nielsen Volume 2, Number 2, Second Quarter 2004 Non-parametric analysis of rating transition intensities is a powerful way of visualizing such effects and is therefore useful both for quickly understanding the behavior of a rating system and for exploring data before setting up a full statistical model. In… Read more
Structural Versus Reduced Form Models: A New Information Based Perspective
Robert A. Jarrow and Philip Protter Volume 2, Number 2, Second Quarter 2004 This paper compares structural versus reduced form credit risk models from an information based perspective. We show that the difference between these two models types can be characterized in terms of the information assumed known by the modeler. Structural models assure that… Read more
Predictions of Default Probabilities in Structural Models of Debt
Hayne E. Leland Volume 2, Number 2, Second Quarter 2004 This paper examines default probabilities predicted by alternative “structural” models of risky corporate debt. We focus on default probabilities rather than credit spreads because (i) they are not affected by additional market factors such as liquidity and tax differences; and (ii) prediction of the relative… Read more