Can I read Credit Rating Impact on Bond Pricing on EtoBox?

Credit Rating Impact on Bond Pricing by arnabpramanik is a document available to read on EtoBox.

What is Credit Rating Impact on Bond Pricing about?

The document calculates the portfolio values of two bonds, one rated BBB and the other rated A, under different credit rating migration scenarios at the end of each year. It shows the individual bond prices for each rating scenario, calculates the joint probabilities of the rating migrations, and determines the mean and standard deviation of the portfolio values.

Author

arnabpramanik

Language

EN