On Some Aspects of Investment into High-Yield Bonds

  • It is considered an analytical model of defaultable bond portfolio in terms of its face value process. The face value process dynamically evolves with time and incorporates changes caused by recovery payment on default followed by purchasing of new bonds. The further studies involve properties, distribution and control of the face value process.
  • Rassmotrena analiticheskaya model' portfelya, sostoyaschego iz defoltiruemih obligazij. Za osnovu modelirovaniya pologen process, opisivayuschij nominal obligazii, kotorij dinamichno izmenyaetsya vo vremeni blagodarya vnosimim platam recovery i posleduyuschim priobreteniyam novih obligazij. Izucheni svojstva, raspredeleniya i voprosi kontrolya processa nominala.
  • Einige Aspekte der Investition in High-Yield Bonds

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Metadaten
Author:Helen Kovilyanskaya
URN (permanent link):urn:nbn:de:hbz:386-kluedo-18326
Advisor:R. Korn
Document Type:Doctoral Thesis
Language of publication:English
Year of Completion:2005
Year of Publication:2005
Publishing Institute:Technische Universität Kaiserslautern
Granting Institute:Technische Universität Kaiserslautern
Acceptance Date of the Thesis:2005/03/01
Tag:Firmwertmodell; Kreitderivaten
default time; face value; intensity; portfolio
GND-Keyword:Ausfallrisiko ; Intensität ; Portfoliomanagement
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:510 Mathematik

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