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Risk Premium: View of Bond Issuer
[Riziková prémie: pohled emitenta dluhopisů]

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  • Jan Šedivý

Abstract

Text is focused on the analysis of risk emerging from the changes of issuer's risk premium. There are mentioned determinants of risk premium based on default models and empirical studies. Value at Risk model based on market data of credit spreads is proposed as a measure of refinance risk. Bond issuers should use stress scenario based on data from financial crisis in 2008 as a natural part of risk management system. In the text is also closely analyzed the special case of Czech bond market.

Suggested Citation

  • Jan Šedivý, 2011. "Risk Premium: View of Bond Issuer [Riziková prémie: pohled emitenta dluhopisů]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2011(3), pages 68-78.
  • Handle: RePEc:prg:jnlcfu:v:2011:y:2011:i:3:id:118:p:68-78
    DOI: 10.18267/j.cfuc.118
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    References listed on IDEAS

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    1. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    More about this item

    Keywords

    Risk premium; Refinance risk; Value at risk; Riziková prémie; Refinanční riziko;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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