English, Article, Journal or magazine article edition: Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market Marida Bertocchi; Rosella Giacometti; Stavros A. Zenios

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Bookmark: http://trove.nla.gov.au/version/190040
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market
Author
  • Marida Bertocchi
  • Rosella Giacometti
  • Stavros A. Zenios
Physical Description
  • preprint
Notes
  • 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.
  • RePEc:wop:pennin:00-40
Language
  • English
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