ダウンロード数: 111
タイトル: | Securities Pricing with Information-Sensitive Discounting |
著者: | Macrina, Andrea Parbhoo, Priyanka A. |
キーワード: | Asset pricing incomplete information stochastic interest rates credit risk recovery models credit-inflation hybrid securities information-sensitive pricing kernels |
発行日: | Jan-2010 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 695 |
抄録: | In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particu- lar we consider credit-risky assets that may include random recovery upon default. The market ltration is generated by a collection of information processes associated with economic factors, on which in- terest rates depend, and information processes associated with mar- ket factors used to model the cash flows of the securities. We use information-sensitive pricing kernels to give rise to stochastic interest rates. Semi-analytical expressions for the price of credit-risky bonds are derived, and a number of recovery models are constructed which take into account the perceived state of the economy at the time of default. The price of European-style call bond options is deduced, and it is shown how examples of hybrid securities, like inflation-linked credit-risky bonds, can be valued. Finally, a cumulative information process is employed to develop pricing kernels that respond to the amount of aggregate debt of an economy. |
URI: | http://hdl.handle.net/2433/129603 |
関連リンク: | http://ideas.repec.org/p/kyo/wpaper/695.html |
出現コレクション: | KIER Discussion Paper (英文版) |
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