Empirically Effective Government and Corporate Bond Pricing Models

Yield Curves and Default Curves

Inbunden, Engelska, 2025

1 588 kr

Beställningsvara. Skickas inom 5-8 vardagar. Fri frakt över 249 kr.

Beskrivning

This book presents a comprehensive, innovative, integrated, and empirically effective system for cross-sectionally analyzing prices of government bonds (GBs) and corporate bonds (CBs) to timely obtain practically useful information on yield curves and default curves.

Produktinformation

Utgivningsdatum:2025-06-01
Mått:155 x 235 x 24 mm
Vikt:668 g
Format:Inbunden
Språk:Engelska
Antal sidor:303
Förlag:Springer Nature Switzerland AG
ISBN:9789819611034

Utforska kategorier

Mer om författaren

Takeaki Kariya, Hitotsubashi University, Professor Emeritas.Yoshiro Yamamura is Professor at Meiji University.

Innehållsförteckning

An Overview over the Content of This Book.- GB Models and Yield Curves in Traditional Finance, Mathematical Finance and K System.- Pricing Government Bonds and Yield Curves via K Models.- Empirical Effectiveness of the KGB Model as JGB and USGB Pricing Models.- Empirical Effectiveness of K0-Yield Curve.- KCB Model and Term Structure of Default Probabilities (TSDP).- Credit Risk Analyses on Japanese CBs and Default Curves.- Credit Risk Analyses on CB Prices in the US Energy Sector.- Credit Risk Analysis on Euro Government Bonds.- Extended KCB Model, Credit Portfolio and CDS Pricing.