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Empirically effective government and...

Kariya, Takeaki.

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Empirically effective government and corporate bond pricing models = yield curves and default curves /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Empirically effective government and corporate bond pricing models/ by Takeaki Kariya, Yoshiro Yamamura.
Reminder of title:	yield curves and default curves /
Author:	Kariya, Takeaki.
other author:	Yamamura, Yoshiro.
Published:	Singapore :Springer Nature Singapore : : 2025.,
Description:	xxxi, 303 p. :ill., digital ;24 cm.
[NT 15003449]:	An Overview over the Content of This Book -- GB Models and Yield Curves in Traditional Finance, Mathematical Finance and K System -- Pricing Government Bonds and Yield Curves via K Models -- Empirical Effectiveness of the KGB Model as JGB and USGB Pricing Models -- Empirical Effectiveness of K0-Yield Curve -- KCB Model and Term Structure of Default Probabilities (TSDP) -- Credit Risk Analyses on Japanese CBs and Default Curves -- Credit Risk Analyses on CB Prices in the US Energy Sector -- Credit Risk Analysis on Euro Government Bonds -- Extended KCB Model, Credit Portfolio and CDS Pricing.
Contained By:	Springer Nature eBook
Subject:	Bonds - Prices -
Online resource:	https://doi.org/10.1007/978-981-96-1104-1
ISBN:	9789819611041

Empirically effective government and corporate bond pricing models = yield curves and default curves /
Kariya, Takeaki.

Empirically effective government and corporate bond pricing modelsyield curves and default curves /[electronic resource] :by Takeaki Kariya, Yoshiro Yamamura. - Singapore :Springer Nature Singapore :2025. - xxxi, 303 p. :ill., digital ;24 cm.

An Overview over the Content of This Book -- GB Models and Yield Curves in Traditional Finance, Mathematical Finance and K System -- Pricing Government Bonds and Yield Curves via K Models -- Empirical Effectiveness of the KGB Model as JGB and USGB Pricing Models -- Empirical Effectiveness of K0-Yield Curve -- KCB Model and Term Structure of Default Probabilities (TSDP) -- Credit Risk Analyses on Japanese CBs and Default Curves -- Credit Risk Analyses on CB Prices in the US Energy Sector -- Credit Risk Analysis on Euro Government Bonds -- Extended KCB Model, Credit Portfolio and CDS Pricing.

This book presents a comprehensive, innovative, integrated, and empirically effective system for cross-sectionally analyzing prices of government bonds (GBs) and corporate bonds (CBs) to timely obtain practically useful information on yield curves and default curves. The system consists of (1) GB-pricing model that values coupon GB and gives yield curve, (2) credit risk rating model of each CB, and (3) CB-pricing model that gives default curve or equivalently term structure of default probabilities (TSDP), which prices credit default swap (CDS). And in view of data science, the empirical effectiveness of the modeling concept, formulated models with price correlations, and estimation procedures in the system is verified with monthly data through various applications of the models to practically important analyses on prices of Japanese GBs and CBs, the USA GBs and CBs, and European GBs (EUGBs) where GBs of Germany, France, Italy, Spain, and Greece. Fact, both yield curves and default curves over a future time horizon. The system enables us to get practically and timely predictive information for making decisions in investment, formation of effective bond portfolio, asset and liability management (ALM), and risk management of yield curve and default curve in banks, trust funds, pension funds, life insurance firms, among others.

ISBN: 9789819611041

Standard No.: 10.1007/978-981-96-1104-1doiSubjects--Topical Terms:

3785962
Bonds
--Prices

LC Class. No.: HG4651

Dewey Class. No.: 332.6323

Empirically effective government and corporate bond pricing models = yield curves and default curves /
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505 0 $a An Overview over the Content of This Book -- GB Models and Yield Curves in Traditional Finance, Mathematical Finance and K System -- Pricing Government Bonds and Yield Curves via K Models -- Empirical Effectiveness of the KGB Model as JGB and USGB Pricing Models -- Empirical Effectiveness of K0-Yield Curve -- KCB Model and Term Structure of Default Probabilities (TSDP) -- Credit Risk Analyses on Japanese CBs and Default Curves -- Credit Risk Analyses on CB Prices in the US Energy Sector -- Credit Risk Analysis on Euro Government Bonds -- Extended KCB Model, Credit Portfolio and CDS Pricing.
520 $a This book presents a comprehensive, innovative, integrated, and empirically effective system for cross-sectionally analyzing prices of government bonds (GBs) and corporate bonds (CBs) to timely obtain practically useful information on yield curves and default curves. The system consists of (1) GB-pricing model that values coupon GB and gives yield curve, (2) credit risk rating model of each CB, and (3) CB-pricing model that gives default curve or equivalently term structure of default probabilities (TSDP), which prices credit default swap (CDS). And in view of data science, the empirical effectiveness of the modeling concept, formulated models with price correlations, and estimation procedures in the system is verified with monthly data through various applications of the models to practically important analyses on prices of Japanese GBs and CBs, the USA GBs and CBs, and European GBs (EUGBs) where GBs of Germany, France, Italy, Spain, and Greece. Fact, both yield curves and default curves over a future time horizon. The system enables us to get practically and timely predictive information for making decisions in investment, formation of effective bond portfolio, asset and liability management (ALM), and risk management of yield curve and default curve in banks, trust funds, pension funds, life insurance firms, among others.
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