Essays on Corporate Bonds
The introduction of the euro on January 1, 1999 created a large, single currency bond market by merging eleven separate bond markets. The euro-denominated corporate bond market has grown substantially ever since. The growth of corporate bond markets, both U.S. dollar and euro, and the defaults of large companies, such as Enron and WorldCom, spurred the development of credit risk models and their applications. More recently, modeling and estimating liquidity risk has generated a lot of research attention from both academics and practitioners. This thesis starts with an overview of the effects of the euro introduction for the Dutch fixed income market and continues with empirical research on corporate bond credit and liquidity risks. Credit risk concentrates on pricing of step-up bonds and on optimizing conditional Value-at-Risk of credit bond portfolios. Liquidity risk focuses on measuring corporate bond liquidity and estimating communality in liquidity between corporate bond, government bond and equity markets.
|Publisher||Erasmus Research Institute of Management (ERIM)|
|Promotor||Vorst, A.C.F. (Ton)|
|Sponsor||Dijk, H.K. van , Jong, F.C.J.M. de , Pelsser, A.A.J. , Vorst, A.C.F.|
|Keywords||Commonality in Liquidity, Corporate Bond Liquidity, Corporate Bonds, Credit Risk, Dutch Bond Market, Liquidity Risk, Portfolio Optimization, Step-up Bonds|
Mentink, A.A.. (2005, December). Essays on Corporate Bonds. Erasmus Research Institute of Management (ERIM). Retrieved from http://hdl.handle.net/1765/7121