Risk Premium: View of Bond Issuer

Riziková prémie: pohled emitenta dluhopisů

Jan Šedivý

Český finanční a účetní časopis, 2011, vol. 2011, issue 3, 68-78

Abstract: Text is focused on the analysis of risk emerging from the changes of issuer's risk premium. There are mentioned determinants of risk premium based on default models and empirical studies. Value at Risk model based on market data of credit spreads is proposed as a measure of refinance risk. Bond issuers should use stress scenario based on data from financial crisis in 2008 as a natural part of risk management system. In the text is also closely analyzed the special case of Czech bond market.

Keywords: Risk premium; Refinance risk; Value at risk; Riziková prémie; Refinanční riziko (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.18267/j.cfuc.118

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