Empirical Pricing of Chinese Defaultable Corporate Bonds Based on the Incomplete Information Model
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-5, 5 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-24
Country of Publication
Egypt
No. of Pages
5
Main Subjects
Abstract EN
The default of Suntech Power made the year 2013 in China “the first year of default” of bond markets.
People are also clearly aware of the default risk of corporate bonds and find that fair pricing for defaultable corporate bonds is very important.
In this paper we first give the pricing model based on incomplete information, then empirically price the Chinese corporate bond “11 super JGBS” from Merton’s model, reduced-form model, and incomplete information model, respectively, and then compare the obtained prices with the real prices.
Results show that all the three models can reflect the trend of bond prices, but the incomplete information model fits the real prices best.
In addition, the default probability obtained from the incomplete information model can discriminate the credit quality of listed companies.
American Psychological Association (APA)
Ping, Li& Xiaoxu, Wang. 2014. Empirical Pricing of Chinese Defaultable Corporate Bonds Based on the Incomplete Information Model. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-5.
https://search.emarefa.net/detail/BIM-460496
Modern Language Association (MLA)
Ping, Li& Xiaoxu, Wang. Empirical Pricing of Chinese Defaultable Corporate Bonds Based on the Incomplete Information Model. Mathematical Problems in Engineering No. 2014 (2014), pp.1-5.
https://search.emarefa.net/detail/BIM-460496
American Medical Association (AMA)
Ping, Li& Xiaoxu, Wang. Empirical Pricing of Chinese Defaultable Corporate Bonds Based on the Incomplete Information Model. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-5.
https://search.emarefa.net/detail/BIM-460496
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-460496