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Valuation Of Callable Bonds: The Salomon Brothers Aproach

Author

Listed:
  • Fernando Rubio

    (FERNCAPITAL S.A.)

Abstract

This paper explain, analyze and apply in an example the original paper developed by Kopprasch, Boyce, Koenigsberg, Tatevossian, and Yampol (1987) from The Salomon Brothers Inc. Bond Portfolio Analysis Group. Please, be aware. This paper is for educational issues only. There is a Spanish version in EconWPA.

Suggested Citation

  • Fernando Rubio, 2005. "Valuation Of Callable Bonds: The Salomon Brothers Aproach," Finance 0507019, University Library of Munich, Germany, revised 23 Jul 2005.
    • Handle: RePEc:wpa:wuwpfi:0507019
    Note: Type of Document - pdf; pages: 34
    as

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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0507/0507019.pdf
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    More about this item

    Keywords

    Salomon Brothers; bond portfolio; duration and convexity; effective duration; valuation; callable and non callable bond;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • 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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