ITEM VIEW

Credit curve estimation and corporate bonds in the South African market

dc.contributor.advisorConradie, W. J. (Willem Johannes)en_ZA
dc.contributor.authorClift, Peter-Johnen_ZA
dc.contributor.otherStellenbosch University. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science.en_ZA
dc.date.accessioned2020-02-25T09:02:58Z
dc.date.accessioned2020-04-28T12:13:54Z
dc.date.available2020-02-25T09:02:58Z
dc.date.available2020-04-28T12:13:54Z
dc.date.issued2020-03
dc.identifier.urihttp://hdl.handle.net/10019.1/108003
dc.descriptionThesis (MCom)--Stellenbosch University, 2020.en_ZA
dc.description.abstractENGLISH SUMMARY : Accurate fair value measurement of financial instruments serves as one of many mechanisms to enhance the integrity of financial institutions, particularly as it relates to counterparty credit risk. In this study, specific reference is made to credit spreads and the information that can be inferred from it for the purpose of fair value measurement. Market observable information, such as traded corporate bonds, together with accounting and share price information related to the issuers of these bonds, are used in order to construct credit spread curves. These credit curves are used as an input to calculate the value of corporate bonds, but can also be used in the calculation of measures related to counterparty credit risk management like the probability of default and loss given default parameters. Currently there is no market standard model that can generate these credit curves. In this study, several models are introduced that may be appropriate to model credit spreads, as well as considerations for their application across a range of possible issuers. The accuracy of each model is tested by using these models to price newly issued corporate bonds and evaluating the resulting price difference from what is observed in the market.en_ZA
dc.description.abstractAFRIKAANSE OPSOMMING : Die akkurate billike waarde waardering van finansiële instrumente dien as een van vele meganismes om die integriteit van finansiële instellings te verbeter, veral ten opsige van teenparty kredietrisiko. In hierdie studie word spesifiek verwys na die krediet premie op korporatiewe effekte en die inligting wat daaruit afgelei kan word vir die doel van billike waarde bepaling. Markwaarneembare inligting, soos verhandelde korporatiewe effekte, sowel as rekenkundige- en aandeelprysinligting wat met die onderskrywers van hierdie effekte verband hou, word gebruik om krediet spreiding kurwes te op te stel. Hierdie krediet kurwes kan gebruik word om die waarde van korporatiewe effekte te bepaal, sowel as om parameters wat verband hou met die bestuur van teenparty kredietrisiko, soos waarskynlikheid van wanbetaling en die verlies gegewe wanbetaling, te bereken. Daar is tans geen standaard model in die mark wat hierdie krediet kurwes kan genereer nie. In hierdie studie word verskillende modelle wat moontlik toepaslik kan wees om krediet premies te modelleer, asook oorwegings vir die toepassing daarvan vir 'n verskeidenheid moontlike onderskrywers van korporatiewe effekte voorgestel. Die akkuraatheid van elke model word getoets deur van hierdie modelle gebruik te maak om nuut uitgereikte korporatiewe effekte te prys en die gevolglike prysverskil te evalueer teenoor wat in die mark waargeneem word.af_ZA
dc.format.extentxiii, 85 pages ; illustrations, includes annexures
dc.language.isoen_ZAen_ZA
dc.publisherStellenbosch : Stellenbosch Universityen_ZA
dc.subjectDebt -- Risk factors -- South Africa -- Statistical methodsen_ZA
dc.subjectCorporate bonds -- South Africaen_ZA
dc.subjectCredit spreadsen_ZA
dc.subjectFinancial risk management -- South Africaen_ZA
dc.subjectUCTD
dc.titleCredit curve estimation and corporate bonds in the South African marketen_ZA
dc.typeThesisen_ZA
dc.description.versionMastersen_ZA
dc.rights.holderStellenbosch Universityen_ZA


Files in this item

Thumbnail
Thumbnail

This item appears in the following Collection(s)

ITEM VIEW