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Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market

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  • Marida Bertocchi
  • Rosella Giacometti
  • Stavros A. Zenios

Abstract

In this paper we develop a multi-factor model for the yields of corporate bonds. The model allows the analysis of factors which influence the changes in the term structure of corporate bonds. More than 98% of the variability in the corporate bond market is captured by the model, which is then used to develop credit risk immunization strategies. Empirical results are given for the U.S. market using data for the period 1992-1999.

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Bibliographic Info

Paper provided by Wharton School Center for Financial Institutions, University of Pennsylvania in its series Center for Financial Institutions Working Papers with number 00-40.

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Date of creation: Oct 2000
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Handle: RePEc:wop:pennin:00-40

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Cited by:
  1. Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
  2. Iryna V. Ivaschenko & Jorge A. Chan-Lau, 2001. "Corporate Bond Risk and Real Activity," IMF Working Papers 01/158, International Monetary Fund.
  3. Eliseo Navarro & Juan M. Nave, 1997. "A two-factor duration model for interest rate risk management," Investigaciones Economicas, FundaciĆ³n SEPI, vol. 21(1), pages 55-74, January.
  4. Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, EconWPA.
  5. Roberta Fiori & Simonetta Iannotti, 2006. "Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure," Temi di discussione (Economic working papers) 602, Bank of Italy, Economic Research and International Relations Area.

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