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Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach
Hyong Chol O / Tae Song Kim
credit risk / fixed incomeResource overview

Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach

Paper2020

by Hyong Chol O, Tae Song Kim

Tags
credit riskfixed income

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Suggested foundations for rates and fixed income and credit and counterparty risk. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

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  1. Bootstrapping the Spot Curve from Market Instruments

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  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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  3. Threshold Models and the Gaussian Copula for Portfolio Default

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