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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.
Takeaki Kariya, Hitotsubashi University, Professor Emeritas.Yoshiro Yamamura is Professor at Meiji University.
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.
