Corporate bonds: fixed versus stochastic coupons—an empirical study

IF 1.5 Q3 BUSINESS, FINANCE

Journal of Asset Management Pub Date : 2024-02-22 DOI:10.1057/s41260-023-00343-y

Belal Ehsan Baaquie, Muhammad Mahmudul Karim

引用次数: 0

Abstract

This paper studies a model proposed by Baaquie (Phys A Stat Mech Appl 541:123367, 2020b) for which a corporate bond pays coupons that are stochastic—depending on the valuation of the issuer. It is shown that by considering bonds with stochastic coupons that are ‘equivalent’ to fixed coupon bonds (defined in the paper), the price of the fixed coupon bond can be accurately explained. The proposed model of stochastic coupons has a built-in hedge for the issuer—and has the feature of profit and loss sharing between investor and issuer making it a viable instrument for Islamic finance.

Abstract Image

查看原文本刊更多论文

公司债券：固定票面与随机票面--实证研究

本文研究了 Baaquie（Phys A Stat Mech Appl 541:123367, 2020b）提出的一个模型，该模型中公司债券的票息是随机的--取决于发行人的估值。结果表明，通过考虑 "等同于 "固定息票债券（本文定义）的随机息票债券，可以准确解释固定息票债券的价格。所提出的随机息票模型为发行人提供了一个内置的对冲工具，并且具有投资者与发行人之间盈亏共担的特点，使其成为伊斯兰金融的一种可行工具。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Asset Management BUSINESS, FINANCE-

CiteScore

4.10

自引率

0.00%

发文量

期刊介绍： The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics