Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market
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.
|Date of creation:||Oct 2000|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://fic.wharton.upenn.edu/fic/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:wop:pennin:00-40. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.