haku: @indexterm performance bonds / yhteensä: 15
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| Tekijä: | Altman, E. I. |
| Otsikko: | Measuring corporate bond mortality and performance. |
| Lehti: | Journal of Finance
1989 : SEP, VOL. 44:4, p. 909-922 |
| Asiasana: | PERFORMANCE BONDS MEASUREMENT FINANCIAL RISK USA |
| Kieli: | eng |
| Tiivistelmä: | An alternative way to measure default risk is developed and an appropriate method to assess the performance of fixed-income investors over the entire spectrum of credit-quality classes is suggested. The approach seeks to measure the expected mortality of bonds and the consequent loss rates in a manner similar to the way actuaries assess mortality of human beings. The results show that all bond ratings outperform riskless Treasuries over a ten-year horizon and that, relatively high mortality rates, B-rated and CCC-rated securities outperform all other rating categories for the first four years after issuance, with BB-rated securities outperforming all others. |
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