This project focuses on risk analysis of corporate bond portfolios. We divide the total risk of the portfolio into three parts, which are market risk, credit risk and liquidity risk. The market risk component is quantified by value-at-risk (VaR) which is determined by change in yield to maturity of the bond portfolio. For the credit risk component, we calculate default probabilities and losses in the event of default and then compute credit VaR. Next, we define a factor called `basis' which is the difference between the Credit Default Swap (CDS) spread and its corresponding corporate bond yield spread (z-spread or OAS). We quantify the liquidity risk by using the basis. In addition we also introduce a Fama-French multi-factor model to analyze the factor significance to the corporate bond portfolio.

Creator

• Jiang, Qizhong

Contributori

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-050213-111018

Parola chiave

• Credit Risk
• Fama-French multi-factor model
• Value at Risk
• liquidity risk
• market risk

Advisor

• Blais, Marcel Y.

Defense date

• 2013-05-02

Year

• 2013

Date created

• 2013-05-02

Resource type

• Thesis

Rights statement

• In Copyright

Ultima modifica

• 2021-01-28