https://scholars.lib.ntu.edu.tw/handle/123456789/414575
Title: | Pricing corporate bonds and constructing credit curves in a developing country: The case of the Taiwan bond fund crisis | Authors: | SHYAN-YUAN LEE Chiou, Wan Jiun Paul Chung, Yi Fang |
Keywords: | Credit curve | Emerging bond market | Forward rate curve | Spot rate curve | Survival probability curve | Issue Date: | 1-Jul-2017 | Publisher: | ELSEVIER SCIENCE BV | Journal Volume: | 50 | Start page/Pages: | 261 | Source: | International Review of Economics and Finance | Abstract: | © 2017 Elsevier Inc. Supervising the bond market in developing countries is challenging due to the lack of vehicles and structures that exist in rich economies. The investors may not cognize the risks in fixed-incomes and their impacts, particularly the default risk. Our study first documents the background and causes of the bond fund crisis in Taiwan in 2004 and further evaluates the effectiveness of the regulator's policies that responded the crisis. Using the data during 2006:01–2013:12, the findings that the quoted term structure of yield to maturities provides accurate corporate bond pricing confirm the feasibility of the new regulations. However, some observations show that volatile forward rates cause negative spreads and implausible survival probability curves. We discuss the findings and provide suggestions for further research. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414575 | ISSN: | 10590560 | DOI: | https://api.elsevier.com/content/abstract/scopus_id/85019005280 10.1016/j.iref.2017.04.004 |
Appears in Collections: | 財務金融學系 |
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