ACADSTAFF UGM
| Title | : | Valuation of one period coupon bond based on default time and empirical study in Indonesian bond data |
| 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 | : | 1 2015 |
| Keyword | : | Classical model,Default barrier,First passage time,Probability of default,Revised first passage time Classical model,Default barrier,First passage time,Probability of default,Revised first passage time |
| Abstract | : | The value of corporate bond is conventionally expressed in terms of the zero coupon bond. In practice, the most common form of debt is coupon bond and allows early default before maturity as safety covenant for the bondholder. This paper studies some valuation methods for one period coupon bond, a coupon bond that only gives one time coupon at the bond period. First, we use classical model that allows the company defaults if the firm cannot fulfill its payment obligation at maturity date T. Second, we use classical first passage time model that gives bond investors the right to take over the firm if its asset value falls below a given barrier before the maturity date. Third, we give revised first passage time model that combines the two fore models. In this approach, a firm will default when its value of assets falls below a given barrier before maturity date or below the payment obligation at the maturity date. We construct a formula of probability of default for those specified models. For the empirical application, we valuate and analyze the default prediction of corporate Indonesian bonds. |
| Group of Knowledge | : | Statistik |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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| No | Title | Action |
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| 1 |
Pushpa Publishing House-COVER-98-2015.pdf
Document Type : [PAK] Halaman Cover
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| 2 |
Pushpa Publishing House-DAFSI-98-2015.pdf
Document Type : [PAK] Daftar Isi
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| 3 |
Pushpa Publishing House-EDITOR-98-2015.pdf
Document Type : [PAK] Halaman Editorial
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| 4 |
25-2015-Far East Journal of Math Science - Vol 98 No 1 2015 pp 57-73 (1).pdf
Document Type : [PAK] Full Dokumen
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| 5 |
Far East Journal of Mathematical Sciences-SJR-98-2015.pdf
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