All Questions
Tagged with fixed-income credit-risk
21
questions
0
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0
answers
39
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Are there closed formulas for non-callable defaultable floating rates in a reduced form models?
currently, I am evaluating for my company the possibility to price defaultable bonds with stochastic default intensity. Precisely, I am considering using the G2++ model where one factor is the ...
- 1
2
votes
1
answer
3k
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the difference between CS01 and RS 1%
Please tell me the difference between CS01 and RST 1% (Relative spreads tightening by 1%) and how these two are used to monitor the credit flow traded product's exposures. Why would you use the spread ...
- 21
1
vote
0
answers
34
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Why do some TIPS bonds have credit spread < 0 [duplicate]
If we look at the yield spreads on Bloomberg of some TIPS bonds, we see they have credit spread < 0 (i.e. their yield is even lower than their benchmark treasury bonds)
Why is that the case. ...
- 147
0
votes
1
answer
280
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Bond value as a function of spread change and duration/maturity
I am trying to calculate the change of value in a universe of bonds given a series of shocks to the credit spread of each bond. As a constraint, the initial dataset only contains the spread change for ...
- 1,471
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1
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1k
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Does credit default swaps have interest rate duration and credit duration?
Will a CDS have interest rate duration and credit duration?
It does seem likely that the value of the CDS would depend on the underlying interest rate, or the spread. But when I try to Google this I ...
- 125
0
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456
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A list of the 01's in the corporate bonds
I have frequently heard terms like DV01, CV01, PV01. Where can I get a list of these glossaries to study? I am not looking for a detailed explanation, just really a list.. Once I have the list, I can ...
- 775
0
votes
1
answer
91
views
Liquid products/indexes to hedge/price a corporate bonds portfolio
Generally, for a corporate bonds portfolio, what are the common risk factors that's hedge-able through some liquid products?
I know we can hedge the rate-risk through treasuries. We have some ETFs for ...
- 775
1
vote
0
answers
424
views
Reduced form of credit model
The price for a simple credit bond, where a credit event is modeled as the first jump of a Poisson process $N$, with stochastic hazard rate $\lambda$, is given by
$$P_t = P(t, \lambda, N)$$
such that,
...
- 343
3
votes
3
answers
904
views
Bond prices and probability of default
We learn in Finance 101 that the price of a bond is the present value of future cash flows. There is no mention of default risk. Still, bond prices move each day, without a change in the payment ...
- 555
1
vote
0
answers
72
views
Books on loans (car, house, etc...), pricing and securitization?
I'm looking for a good book on credit analysis, lending, car loans, house loans, etc... I would like to understand the theory and practice behind it. Most books I google for are for the consumer like ...
- 717
1
vote
1
answer
247
views
Does bond market trading price has recovery assumption in mind?
We all know fixed income seucirties have default risk which can be generated from CDS market. However, I am curious if the market trading price of a bond (say, $105) imposing any recovery assumption?
...
- 91
1
vote
0
answers
104
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Quant valuation of a credit card debt (or flexible loan)
What would you say is the generally accepted quantitative method of valuing an individual credit card, or flexible loan? Is the method very changeable if that were a pool of such loans?
Suppose the ...
- 11k
2
votes
0
answers
46
views
To price Municipal Bonds and risks I want to know the percent of unfunded pension liabilities ($3.8T) to total state and local gov liabilities
Unfunded pension liabilities keep growing and this seems alarming to both pension holders but also Municipal Bond holders.
I would like to know how large this problem is to better price Munis and ...
- 283
1
vote
0
answers
131
views
Extracting Risk Neutral Default Probabilities using Option Adjusted Bond Prices
I am currently in a project trying to quantify default risk premia for US Corporate Bonds. The data I have consists of bond prices, and other information (i.e. YTM, OAS, Effective Duration, Maturity ...
- 11
1
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0
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214
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Spread Duration weighted OAS vs. Mkt Cap Weighted?
I am curious what the differences might be in rolling up OAS spreads across a portfolio by duration weighting vs. mkt cap weighting.
@Alex yes I meant S.D. weighted not Duration weighted
- 11