DocumentCode :
3420587
Title :
Credit risk evaluation of investment corporation bonds
Author :
Tsuda, Hiroyuki ; Ando, Makoto
Author_Institution :
Dept. of Math. Sci., Doshisha Univ., Kyoto, Japan
fYear :
2013
fDate :
13-13 July 2013
Firstpage :
179
Lastpage :
184
Abstract :
In the present study, we use the concept of the straight coupon bond pricing model proposed by Tsuda (2006) to estimate a price evaluation model for investment corporation bonds: bonds issued by investment corporations for the purpose of raising funds. This model obtains credit risk information, such as default probability, from the market prices of bonds. The model simultaneously estimates implied default probability and recovery rate through comparison of the price fluctuation structure of issues. The market value of properties poses a problem since, as a general rule, real estate has low liquidity and transaction prices are not published. However, because investment corporations that issue investment corporation bonds proactively disclose information (property acquisition prices, NOI, etc.) about owned properties that serve as collateral assets, we can estimate the recovery rate from this information. Then, from market price data for investment corporation bonds, we can obtain new information, including the term structure of default probability for each bond rating and the validity of the pricing model.
Keywords :
investment; pricing; probability; risk management; bond rating; credit risk evaluation; credit risk information; default probability; implied default probability estimation; investment corporation bonds; liquidity price; market prices; market value; price evaluation model; price fluctuation structure; recovery rate; straight coupon bond pricing model; transaction price; Companies; Correlation; Data models; Equations; Investment; Mathematical model; Pricing; Corporate bond pricing model; Credit risk; Default probability; Investment corporation bonds; J-REIT; Recovery rate;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Computational Intelligence & Applications (IWCIA), 2013 IEEE Sixth International Workshop on
Conference_Location :
Hiroshima
ISSN :
1883-3977
Print_ISBN :
978-1-4673-5725-8
Type :
conf
DOI :
10.1109/IWCIA.2013.6624811
Filename :
6624811
Link To Document :
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