English, Article edition: A GENERAL FRAMEWORK FOR HIGH YIELD BOND INVESTMENT RALF KORN; HELEN KOVILYANSKAYA

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Physical Description
  • article
Language
  • English

Edition details

Title
  • A GENERAL FRAMEWORK FOR HIGH YIELD BOND INVESTMENT
Author
  • RALF KORN
  • HELEN KOVILYANSKAYA
Physical Description
  • article
Notes
  • We present a general framework for considering investment in defaultable securities which â as special cases â includes both the firm value and the intensity based approach to credit risky bonds. In this framework, we construct a dynamically evolving portfolio of high-yield bonds where whenever a bond defaults it is replaced by another high yield bond. The properties of this portfolio and in particular the evolution of its face value are investigated. The modeling potential of our framework is demonstrated via examples of bond portfolios admitting extreme properties such as an unbounded face value process.
  • High yield bond investment, defaultable bond modeling, face value process
  • RePEc:wsi:ijtafx:v:10:y:2007:i:06:p:967-984
Language
  • English
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