Karya
Judul/Title Valuation of one period coupon bond based on default time and empirical study in Indonesian bond data
Penulis/Author DI ASIH I MARUDDANI (1) ; Prof. Dr.rer.nat. Dedi Rosadi, S.Si.,, M.Sc. (2); Prof. Dr. Drs. Gunardi, M.Si. (3); Prof. Dr. Abdurakhman, S.Si., M.Si. (4)
Tanggal/Date 1 2015
Kata Kunci/Keyword
Abstrak/Abstract The value of corporate bond is conventionally expressed in terms of the zero coupon bond. In practice, the most common form of debt is coupon bond and allows early default before maturity as safety covenant for the bondholder. This paper studies some valuation methods for one period coupon bond, a coupon bond that only gives one time coupon at the bond period. First, we use classical model that allows the company defaults if the firm cannot fulfill its payment obligation at maturity date T. Second, we use classical first passage time model that gives bond investors the right to take over the firm if its asset value falls below a given barrier before the maturity date. Third, we give revised first passage time model that combines the two fore models. In this approach, a firm will default when its value of assets falls below a given barrier before maturity date or below the payment obligation at the maturity date. We construct a formula of probability of default for those specified models. For the empirical application, we valuate and analyze the default prediction of corporate Indonesian bonds.
Rumpun Ilmu Statistik
Bahasa Asli/Original Language English
Level Internasional
Status
Dokumen Karya
No Judul Tipe Dokumen Aksi
1Pushpa Publishing House-COVER-98-2015.pdf[PAK] Halaman Cover
2Pushpa Publishing House-DAFSI-98-2015.pdf[PAK] Daftar Isi
3Pushpa Publishing House-EDITOR-98-2015.pdf[PAK] Halaman Editorial
425-2015-Far East Journal of Math Science - Vol 98 No 1 2015 pp 57-73 (1).pdf[PAK] Full Dokumen
5Far East Journal of Mathematical Sciences-SJR-98-2015.pdf