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How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach
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When
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17.00
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Where
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S421
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Presentations
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Speaker
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Mogens Steffensen
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From
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University of Copenhagen
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Abstract
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This talk deals with the impact of default risk on the portfolio decision of an investor investing in corporate bonds. Default risk is modeled via a reduced form approach and we allow for common macro factors, joint default events and random recovery. Depending on the structure of the model, we are able to derive closed-form results for the optimal portfolio strategies.
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For further information
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Ulla Jakobsen (Administrative Assistant) Ext. 6879
Department of Statistics, Columbia House
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