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On the Pricing of Step-Up Bonds in the European Telecom Sector
Lando, David / Mortensen, Allan
credit risk / fixed incomeResource overview

On the Pricing of Step-Up Bonds in the European Telecom Sector

Paper2004

by Lando, David, Mortensen, Allan

Tags
credit riskfixed incomemodel calibration

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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

    Read conditional default and exposure quantities.

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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

    Study dependence between defaults.

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