Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market

Marida Bertocchi, Rosella Giacometti and Stavros Zenios

Center for Financial Institutions Working Papers from Wharton School Center for Financial Institutions, University of Pennsylvania

Abstract: In this paper we develop a multi-factor model for the yields of corporate bonds. The model allows the analysis of factors which influence the changes in the term structure of corporate bonds. More than 98% of the variability in the corporate bond market is captured by the model, which is then used to develop credit risk immunization strategies. Empirical results are given for the U.S. market using data for the period 1992-1999.

Date: 2000-10
New Economics Papers: this item is included in nep-acc, nep-fin and nep-fmk
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Risk factor analysis and portfolio immunization in the corporate bond market (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wop:pennin:00-40

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