Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market
AbstractIn 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 InfoPaper provided by Wharton School Center for Financial Institutions, University of Pennsylvania in its series Center for Financial Institutions Working Papers with number 00-40.
Date of creation: Oct 2000
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- Bertocchi, Marida & Giacometti, Rosella & Zenios, Stavros A., 2005. "Risk factor analysis and portfolio immunization in the corporate bond market," European Journal of Operational Research, Elsevier, vol. 161(2), pages 348-363, March.
- NEP-ACC-2001-07-23 (Accounting & Auditing)
- NEP-ALL-2001-07-23 (All new papers)
- NEP-FIN-2001-07-23 (Finance)
- NEP-FMK-2001-07-23 (Financial Markets)
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