Portfolio selection without default risk in the fixed income market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86088675" target="_blank" >RIV/61989100:27510/13:86088675 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Portfolio selection without default risk in the fixed income market
Original language description
In this paper we propose a new portfolio selection model to invest in the fixed income market without taking the default risk. The solution of the portfolio choice problem (without default risk) is useful to address better the investors' choices in particular in the recent credit risk crisis during which several firms went bankrupt. Generally investors require a higher rate of return when they invest in bonds of a firm that can easily go bankrupt. For this reason we need to consider CDSs contracts to hedge the default risk of investments in the fixed income market. In this paper, we first describe the credit risk market and we summarize the valuation of classic financial instruments used to hedge the default risk. Secondly, we deal with the problem tohedge the risk in a dynamic framework using credit default swaps (CDSs). Thus we propose a new portfolio selection analysis where we evaluate the ex-post impact of portfolio investments hedged by the default risk.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Recent advances in intelligent control, modelling and computational science : proceedings ... : Valencia, Spain, August 6-8, 2013
ISBN
978-960-474-319-3
ISSN
2227-4588
e-ISSN
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Number of pages
5
Pages from-to
101-105
Publisher name
WSEAS Press
Place of publication
[Španělsko]
Event location
Valencie
Event date
Aug 6, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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