IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v10y2007i06ns0219024907004512.html
   My bibliography  Save this article

A General Framework For High Yield Bond Investment

Author

Listed:
  • RALF KORN

    (Department of Mathematics, TU Kaiserslautern, Erwin Schrödinger Str. and Fraunhofer ITWM, Fraunhofer Platz 1, Kaiserslautern, 67663, Germany)

  • HELEN KOVILYANSKAYA

    (Mathematisches Institut, HHU Düsseldorf, Universitätstr. 1, Düsseldorf, 40225, Germany)

Abstract

We present a general framework for considering investment in defaultable securities which — as special cases — includes both the firm value and the intensity based approach to credit risky bonds. In this framework, we construct a dynamically evolving portfolio of high-yield bonds where whenever a bond defaults it is replaced by another high yield bond. The properties of this portfolio and in particular the evolution of its face value are investigated. The modeling potential of our framework is demonstrated via examples of bond portfolios admitting extreme properties such as an unbounded face value process.

Suggested Citation

  • Ralf Korn & Helen Kovilyanskaya, 2007. "A General Framework For High Yield Bond Investment," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(06), pages 967-984.
    • Handle: RePEc:wsi:ijtafx:v:10:y:2007:i:06:n:s0219024907004512
    DOI: 10.1142/S0219024907004512
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024907004512
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024907004512?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:10:y:2007:i:06:n:s0219024907004512. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.