Recent structural models for valuing callable corporate bonds show that both
callability and default options have important implications for the interest-rate sensitivity
of yield spreads and the bond duration. Special attention is given to the interaction
between the two risks. In this paper we test the main implications of these models.
Specifically, we examine the interest-rate elasticity of the call spread and that of the
default spread, allowing for interaction between both spreads. Furthermore, we examine
the impact of both risks and their interaction on the effective duration of corporate bonds.
We also test theoretical predictions regarding corporate bond sensitivity to firm value.
Our findings support the predictions of the theory for bonds carrying a standard fixedprice
call option and those carrying the newer make-whole option.
학술대회/행사
학술대회안내
[2008년 제 4차] Corporate Bond Pricing and the Effects of Endogenou
작성자 : 관리자
조회수 : 993
게시일 :
2008-12-11