Empirically Effective Government and Corporate Bond Pricing Models: Yield Curves and Default Curves - Image 1

£104.79

Springer Empirically Effective Government and Corporate Bond Pricing Models: Yield Curves and Default Curves

Name: Empirically Effective Government and Corporate Bond Pricing Models: Yield Curves and Default Curves
Brand: Springer
Price: 104.85 GBP
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This book presents a comprehensive, innovative, integrated, and empirically effective system for cross-sectionally analyzing prices of government bonds (GBs) and corporate bonds (CBs) to timely obtain practically useful information on yield curves and default curves. The system consists of (1) GB-pricing model that values coupon GB and gives yield curve, (2) credit risk rating model of each CB, and (3) CB-pricing model that gives default curve or equivalently term structure of default probabilities (TSDP), which prices credit default swap (CDS). And in view of data science, the empirical effectiveness of the modeling concept, formulated models with price correlations, and estimation procedures in the system is verified with monthly data through various applications of the models to practically important analyses on prices of Japanese GBs and CBs, the USA GBs and CBs, and European GBs (EUGBs) where GBs of Germany, France, Italy, Spain, and Greece. Fact, both yield curves and default curves over a future time horizon. The system enables us to get practically and timely predictive information for making decisions in investment, formation of effective bond portfolio, asset and liability management (ALM), and risk management of yield curve and default curve in banks, trust funds, pension funds, life insurance firms, among others.

Product Specifications

Brand: Springer
Format: hardcover
ASIN: 9819611032
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 01 June 2025
Listed Since: 30 October 2024

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Springer Empirically Effective Government and Corporate Bond Pricing Models: Yield Curves and Default Curves

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