£44.34

Deutscher Universitätsverlag Konversionsfaktoren für Future-Kontrakte auf ausfallrisikobehaftete Anleihen

25016769

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Last 636 days • 636 data points (No recent data available)

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£45.99 £40.96 £42.06 £43.16 £44.25 £45.35 £46.45 10 June 2024 15 November 2024 23 April 2025 29 September 2025 07 March 2026

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42 days 126 days · current 468 days 0 117 234 351 468 £41 £44 £46 Days at Price

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Most common price: £46 (468 days, 73.6%)

Price range: £41 - £46

Price levels: 3 different prices over 636 days

Description

Um der Gefahr von Lieferengpässen bei Anleihe-Futures zu begegnen, wird in der Praxis eine Ausweitung des lieferbaren Materials durch die Zulassung von Anleihen verschiedener Emittenten vorgeschlagen. Klaus Düllmann untersucht theoretisch und empirisch die Eigenschaften eines solchen Mehremittenten-Future anhand von zentralen Erfolgsfaktoren und entwickelt spezielle Konversionsfaktorsysteme, die das emittentenabhängige Ausfallrisiko der einlieferbaren Anleihen berücksichtigen. Er zeigt in einer komparativ-statischen Analyse, wie der Wert der Lieferoption, bei dem sich Zinsänderungs- und Kreditrisiko überlagern, von dem Konversionsfaktorsystem abhängt. Durch die empirische Schätzung ausgewählter Modelle liefert die Arbeit neue Erkenntnisse zur Auswahl von Kreditrisikomodellen. Mit einer Analyse der Hedge-Effizienz geht der Autor der Frage nach, wie sich die Einlieferung von ausfallgefährdeten Anleihen auf die Absicherungsqualität von Mehremittenten-Futures auswirkt.

Product Specifications

Format
Paperback
Domain
Amazon UK
Release Date
27 November 2002
Listed Since
28 July 2011

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