Exploring the main factors that determine bond spreads with respect to Treasury rates is one of the most critical issues in the corporate debt market. Credit risk has long been perceived as the most important determinant of bond spreads (Fisher, 1959). One of the most critical parameters in credit risk models is asset volatility, which includes idiosyncratic and systematic components. However, these models do not distinguish between them. Chapter 2 investigates the impact of idiosyncratic volatility on bond portfolio spreads between 2000 and 2010. While the prediction of traditional asset pricing models is that firm-specific risk should be diversified away at aggregate level, I find idiosyncratic volatility plays an incremental role in explaining bond portfolio spreads beyond the market factors. Recovery is an important measurement of credit risk additional to default probability. Chapter 3 focuses on the estimation of firm recovery after bankruptcy using the Leland and Toft (1996) model. Using a large sample of Chapter 11 filings from 1996 to 2007, I find that the recovery derived from the Leland and Toft model has strong explanatory power on the debt recovery observed in the market. Recent literature finds that all extant credit risk models significantly underestimate bond spreads, especially for investment grade bonds of short maturity. Chapter 4 identifies a heretofore ignored component, perceived accounting misstatement, by regressing bond spreads on the proxy of accounting misstatement propensity, while controlling for issuers’ default risk and bond illiquidity risk between January 1994 and June 2002. My thesis deepens the understanding of bond price discovery mechanisms and presents an important challenge for future research to incorporate the strong empirical relationship between idiosyncratic volatility and bond yields in asset pricing models. My thesis also sheds light on the accurate prediction of debt recovery, which is important to the valuation and hedging of risky debt and credit derivatives. Furthermore, my thesis assists in solving the credit spread puzzle by identifying a new risk factor. Overall, my thesis provides new insights into research on the corporate debt market and has important implications for academic scholars and market practitioners. / Thesis (Ph.D, Management) -- Queen's University, 2013-04-30 20:22:12.594

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Credit risk and market risk have already been explored intensively and the reliable models of credit risk and market risk have also been developed progressively. As to financial institution, how to control credit risks and venture capital to count and withdraw the implementation with new Basel capital protocol, will concern the competitiveness of the financial institution. This study try to find a method pricing the CDO (Collateralized Debt Obligation) based on Macroeconomic and financial ratio credit model. For the various approaches to CDO valuation, the most widely accepted is the Copula approach. The Copula approach is considered suitable for describing default correlation. Combining with Monte Carlo Simulation, it can price CDO effectively.

This paper examines the performance of risk arbitrage in Taiwan. Benchmarking the returns on the risk arbitrage portfolio against the CAPM and Fama-French three-factor models, the risk arbitrage portfolio produces an abnormal return of 1% per month over the period from June 1999 to April 2007. However, after adjusting for transaction costs, the returns are no longer statistically significant. On the other hand, results indicate that risk arbitrage portfolio returns are negatively correlated with market returns, and the returns tend to have a linear relationship with the market.

Thesis (Ph. D.)--University of Hong Kong, 2001. / Includes bibliographical references.

published_or_final_version / Electrical and Electronic Engineering / Master / Master of Philosophy

published_or_final_version / Electrical and Electronic Engineering / Doctoral / Doctor of Philosophy

No description available.

No description available.

This study was conducted on twenty-eight men at Halley Base, Antarctica, in total physical isolation from all other human contact from beginning March to end December 1983. Aims of study: observe <i>S. aureus</i> carriage in this community; monitor effects on carriage of topical antibacterials. Initially, weekly nasal, axillary and perineal swabs taken. From week 24 throat swabs taken from known nasal carriers. Two courses of antibacterials given to all subjects, regardless of carrier status. Two further courses given to known carriers. Eight subjects consistently carried own phage type throughout study, despite application of antibacterials. Eradication appeared successful in two, possibly three individuals, but after significant interval (39 weeks in one) <i>S. aureus</i> found of phage type either not isolated before in study, or not found for prolonged period. May reflect inadequacy of conventional sampling methods. <i>S. aureus</i> in throat of nine of twelve nasal carriers. No consistent skin carriers. Seven subjects intermittent nasal carriers. Four probably acquired strain from consistent carriers. Approximately 90% of stored isolates revived for phage on return to UK. Two consistent carriers and one intermittent carrier yielded non-typable strains. Alternative typing method developed. All phage types indistinguishable by polyacrylamide gel electrophoresis (PAGE) of whole cell extracts. Insufficient protein in supernatants for PAGE. Western Blotting of supernatants using normal human plasma as anti-staphylococcal antibody source distinguished between different phage types, but non-typable strains still indistinguishable. Conclusions: 1) Individuals' carrier status stable over many months. Living in proximity to persistent carriers, some individuals never gave positive swab. 2) Throat may be significant carriage site. 3) Topical antibacterial application unlikely to eradicate <i>S. aureus</i> from nose, particularly in persistent carriers. 4) Apparent eradication may represent suppression. 5) Western Blotting of culture supernatants may provide alternative typing method, also information on strains of direct clinical significance.