Arbeitspapier
Valuing Euro Rating-Triggered Step-Up Telecom Bonds
We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando andTurnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and(iii) as plain vanilla bonds. We find that the market seems to value single step-up bondsaccording to the JLT model, while it values multiple step-up bonds as plain vanilla bonds.Further, step-up feature market premiums are more volatile than JLT and historical premiums,and the JLT model approximates market premiums always better than the historical method.Finally, most step-up bonds offer a cushion against rating migrations via dampened pricemovements.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 03-028/2
- Klassifikation
-
Wirtschaft
Estimation: General
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
step-up bonds
Jarrow-Lando-Turnbull model
rating-based reduced form model
transition probabilities.
CAPM
Anleihe
Telekommunikationssektor
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Houweling, Patrick
Mentink, Albert
Vorst, Ton
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Houweling, Patrick
- Mentink, Albert
- Vorst, Ton
- Tinbergen Institute
Entstanden
- 2003
Ähnliche Objekte (12)
Marketing-Konzept Telecom Rating Schweiz
Valuing corporate bonds : in the presence of default risk
Valuing catastrophe bonds involving correlation and CIR interest rate model
Bright source of Purcell‐enhanced, triggered, single photons in the telecom C‐band
Bright Source of Purcell‐Enhanced, Triggered, Single Photons in the Telecom C‐Band
Valuing quality
Telecom 1971
Credit ratings in the Japanese bond market
Valuing the environment
Valuing rural amenities
Business telecom, 1983
Credit rating announcement and bond liquidity: The case of emerging bond markets
Marketing-Konzept Telecom Rating Schweiz
Valuing corporate bonds : in the presence of default risk
Valuing catastrophe bonds involving correlation and CIR interest rate model
Bright source of Purcell‐enhanced, triggered, single photons in the telecom C‐band
Bright Source of Purcell‐Enhanced, Triggered, Single Photons in the Telecom C‐Band
Valuing quality
Telecom 1971
Credit ratings in the Japanese bond market
Valuing the environment
Valuing rural amenities
Business telecom, 1983
Credit rating announcement and bond liquidity: The case of emerging bond markets
Marketing-Konzept Telecom Rating Schweiz
Valuing corporate bonds : in the presence of default risk
Valuing catastrophe bonds involving correlation and CIR interest rate model
Bright source of Purcell‐enhanced, triggered, single photons in the telecom C‐band
Bright Source of Purcell‐Enhanced, Triggered, Single Photons in the Telecom C‐Band
Valuing quality
Telecom 1971
Credit ratings in the Japanese bond market
Valuing the environment
Valuing rural amenities
Business telecom, 1983