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 for corporate bonds of multiple credit ratings. Empirical results are given for the US market using data for the period 1992–1999.
(2005). Risk factor analysis and portfolio immunization in the corporate bond market [journal article - articolo]. In EUROPEAN JOURNAL OF OPERATIONAL RESEARCH. Retrieved from http://hdl.handle.net/10446/19557
Risk factor analysis and portfolio immunization in the corporate bond market
BERTOCCHI, Maria;GIACOMETTI, Rosella;
2005-01-01
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 for corporate bonds of multiple credit ratings. Empirical results are given for the US market using data for the period 1992–1999.| File | Dimensione del file | Formato | |
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