ACADSTAFF UGM
| Title | : | One period coupon bond valuation with revised first passage time approach and the application in Indonesian corporate bond |
| Author | : |
DI ASIH I MARUDDANI (1) Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (2) Dr. Drs. Gunardi, M.Si. (3) Dr. Abdurakhman (4) |
| Date | : | 0 2014 |
| Keyword | : | : Default barrier, equity, probability of default, safety covenants, revised first passage time : Default barrier, equity, probability of default, safety covenants, revised first passage time |
| Abstract | : | The value of a corporate bond is conventionally expressed in terms of zero coupon bond. In practice, the most common form of debt instrument is coupon bond and allows early default before maturity as safety covenant for the bondholder. This paper study valuation for one period coupon bond, a coupon bond that only give one time coupon at the bond period. It assumes that the model give bondholder the right to reorganize a firm if its value falls below a given barrier. Revised first passage time approach is applied for default time rule. As a result, formulas of equity, liability, and probability of default is derived for this specified model. Straightforward integration under risk neutral pricing is used for deriving those formulas. For the application, bond of Bank Rakyat Indonesia (BRI) as one of the largest bank in Indonesia is analyzed. R computing show that value of the equity is IDR 453.724.549.000.000, the liability is IDR 2.657.394.000.000, and the probability if default is 5.645305E-47 %. |
| Group of Knowledge | : | |
| Level | : | Internasional |
| Status | : |
Published
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| No | Title | Action |
|---|---|---|
| 1 |
391_1_online.pdf
Document Type : [PAK] Full Dokumen
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| 2 |
One period coupon bond valuation with revised first passage time approach and the application in Indonesian corporate bond (1).pdf
Document Type : Cek Similarity
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| 3 |
muslim paper lebih dari 4 negara.pdf
Document Type : Seminar Sampul Prosiding
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