Bond Valuation in Emerging Markets (Finanzierung, Kapitalmarkt und Banken)
Ein Angebot gefunden

Sovereign and corporate bonds issued by entities in emerging markets have seen a steady increase in importance as a distinct asset class in international financial markets over the past 20 years. This development was driven partly by the growing need for external financing in these countries and partly by the desire of investors to find new investment opportunities with desirable risk-return characteristics and diversification potential. The numerous crises in emerging market countries have interrupted this development at times, but never prevented this asset class from gaining the importance it has today. The described events have nevertheless exposed the risk inherent in these investments and shown the need for adequate risk measurement and pricing. Especially the interaction between sovereign and corporate risk in emerging markets has been neglected so far. This book addresses this need. As a first step, the current situation in emerging bond markets is characterised and the relevant types and sources of risk are analysed. An overview over the current state of credit risk modelling literature follows. The two main model classes, structural models and reduced-form models, are presented and the body of empirical evidence on these models is surveyed. In a next step, the valuation of sovereign bonds in emerging markets is studied. For this purpose a structural model is formulated that uses economic indicators as signalling variables for payment distress. The model is empirically tested on several emerging market countries and potentially useful indicators are identified. Building on these results, a reduced-form model for pricing corporate bonds in emerging markets is developed. The affine yield factor model separates corporate default risk and country-induced default risk (transfer risk) and is applied to a unique dataset of corporate bonds in several emerging markets. Finally, the results are used in a loss distribution simulation to highlight the importance of country effects in emerging markets bond portfolios.

Kategorie: Finanzsektor & Finanzdienstleistungen: Allgemeines
Daten vom 01.04.2018 21:52h
ISBN (andere Schreibweisen): 3-89936-640-9, 978-3-89936-640-2