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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| Author: | Helen Kovilyanskaya |
|---|---|
| URN: | 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 |
| Date of the Publication (Server): | 2005/03/11 |
| Tag: | Firmwertmodell; Kreitderivaten default time; face value; intensity; portfolio |
| GND-Keyword: | Intensität; Ausfallrisiko; Portfoliomanagement |
| Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
| DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
| Licence (German): |  Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |