Risky Coupon Bonds as a Portfolio of Zero-Coupon Bonds

Topics:
Investment and Capital Markets
Tags:
Bond,
Coupon Bond,
Finance,
Investment,
Kamakura
Source:
Kamakura

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Overview: This paper characterizes conditions under which a risky coupon bond is equivalent to a portfolio of risky zero-coupon bonds. This characterization is extended to enable the estimation of firm specific zero-coupon bond prices from risky coupon bond prices for the determination of firm specific credit risk curves. This paper provides a characterization of the conditions under which the analogous expression holds for risky coupon bonds.

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Format: PDF | Size: 147KB | Date: Feb 2004 | Pages: 6

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