A portfolio theory of defaultable bonds and its empirical validation:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2004
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 256 S. Ill., graph. Darst. |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV019658295 | ||
| 003 | DE-604 | ||
| 005 | 20050928 | ||
| 007 | t | ||
| 008 | 050114s2004 gw ad|| m||| 00||| eng d | ||
| 015 | |a 0501,H,0290 |2 dnb | ||
| 016 | 7 | |a 972620443 |2 DE-101 | |
| 035 | |a (OCoLC)58917395 | ||
| 035 | |a (DE-599)BVBBV019658295 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c XA-DE | ||
| 049 | |a DE-N2 |a DE-739 |a DE-384 |a DE-355 |a DE-703 |a DE-473 |a DE-19 |a DE-12 |a DE-188 | ||
| 084 | |a 330 |2 sdnb | ||
| 100 | 1 | |a Schubert, Dirk A. |d 1970- |e Verfasser |0 (DE-588)129511307 |4 aut | |
| 245 | 1 | 0 | |a A portfolio theory of defaultable bonds and its empirical validation |c vorgelegt von Dirk A. Schubert |
| 264 | 1 | |c 2004 | |
| 300 | |a XII, 256 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Bonn, Univ., Diss., 2004 | ||
| 650 | 0 | 7 | |a Risiko |0 (DE-588)4050129-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Messung |0 (DE-588)4038852-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Junk bond |0 (DE-588)4209156-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Junk bond |0 (DE-588)4209156-1 |D s |
| 689 | 0 | 1 | |a Portfolio Selection |0 (DE-588)4046834-3 |D s |
| 689 | 0 | 2 | |a Risiko |0 (DE-588)4050129-2 |D s |
| 689 | 0 | 3 | |a Messung |0 (DE-588)4038852-9 |D s |
| 689 | 0 | 4 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m GBV Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012986756&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-012986756 | ||
Datensatz im Suchindex
| _version_ | 1804133036735856640 |
|---|---|
| adam_text | A PORTFOLIO THEORY OF DEFAULTABLE BONDS AND ITS EMPIRICAL VALIDATION
INAUGURAL-DISSERTATION ZUR ERLANGUNG DES GRADES EINES DOKTORS DER
WIRTSCHAFTS- UND GESELLSCHAFTSWISSENSCHAFTEN DURCH DIE RECHTS- UND
STAATSWISSENSCHAFTLICHE FAKULTAT DER RHEINISCHEN
PRIEDRICH-WILHELMS-UNIVERSITAT BONN VORGELEGT VON DIRK A. SCHUBERT AUS
FRANKFURT / MAIN BONN 2004 CONTENTS INTRODUCTION IV 1 THE THEORETICAL
PART - THE MODEL 1 1.1 A ONE-FACTOR MODEL FOR PORTFOLIO CREDIT RISK 1
1.2 THE RETURN PROCESS OF DEFAULTABLE BONDS 4 1.3 PORTFOLIO ANALYSIS OF
DEFAULTABLE BONDS 6 1.3.1 PORTFOLIO SELECTION ACCORDING TO THE THEORY OF
MARKOWITZ IN ABSENCE OF DEFAULT RISK 6 1.3.2 PORTFOLIO SELECTION
ACCORDING TO THE THEORY OF MARKOWITZ IN PRESENCE OF DEFAULT RISK 11 1.4
THE CAPM FOR DEFAULTABLE BONDS 26 1.4.1 THE CAPM IN ABSENCE OF DEFAULT
RISK 26 1.4.2 THE CAPM IN PRESENCE OF DEFAULT RISK 30 1.5 MULTI-FACTOR
MODELS 40 1.5.1 THE PORTFOLIO ANALYSIS IN A MULTI-FACTOR MODEL 40 1.5.2
THE CAPM FOR DEFAULTABLE BONDS IN THE MULTI-FACTOR MODEL 49 2 THE
EMPIRICAL PART - THE STATISTICS 51 2.1 THE DATA-GENERATION PROCESS 51
2.2 THE ESTIMATION OF THE PARAMETERS 54 2.3 MAXIMUM LIKELIHOOD
ESTIMATION 55 CONTENTS II 2.4 HECKMAN S TWO-STEP ESTIMATOR 58 2.5 THE
DATA 60 2.5.1 THE BOND DATA 60 2.5.2 STATISTICAL CHARACTERISTICS OF THE
MACROECONOMIC FACTORS 69 2.6 THE METHODS OF ANALYSIS IN THE STATISTICAL
INQUIRY 79 2.7 THE EXPLORATORY PART 81 2.7.1 COMMON VARIATION IN BOND
RETURNS AND MODEL SELECTION 81 2.7.2 COMMON VARIATION IN SPREAD CHANGES
AND MODEL SELECTION 99 2.8 THE CONFIRMATORY PART 109 2.8.1 THE
MOTIVATION 109 2.8.2 THE RESULTS ILL 2.9 TEST OF THE DEFAULTABLE CAPM
REPRESENTATION 117 2.9.1 THE PROBLEM OF MISSING VALUES 117 2.9.2 THE
TESTING PROCEDURE AND THE RESULTS 118 3 CONCLUSION 122 4 APPENDIX I 127
5 APPENDIX II 144 6 APPENDIX FOR THE MULTI-FACTOR MODELS 160 7 APPENDIX
MAXIMUM LIKELIHOOD ESTIMATOR 196 8 APPENDIX FOR THE EMPIRICAL PART 200
8.1 APPENDIX I FOR CHAPTER THE DATA 200 8.2 APPENDIX II FOR CHAPTER
EXPLORATORY PART 212 8.3 APPENDIX III FOR CHAPTER EXPLORATORY PART
- TABLES FOR THE HISTOGRAMS 219 CONTENTS III 8.4 APPENDIX IV FOR CHAPTER
CONFIRMATORY PART 237 BIBLIOGRAPHY 240 LISTS OF TABLES AND FIGURES
245
|
| any_adam_object | 1 |
| author | Schubert, Dirk A. 1970- |
| author_GND | (DE-588)129511307 |
| author_facet | Schubert, Dirk A. 1970- |
| author_role | aut |
| author_sort | Schubert, Dirk A. 1970- |
| author_variant | d a s da das |
| building | Verbundindex |
| bvnumber | BV019658295 |
| ctrlnum | (OCoLC)58917395 (DE-599)BVBBV019658295 |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01868nam a2200457 c 4500</leader><controlfield tag="001">BV019658295</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20050928 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">050114s2004 gw ad|| m||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">0501,H,0290</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">972620443</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)58917395</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV019658295</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-N2</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-473</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">330</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Schubert, Dirk A.</subfield><subfield code="d">1970-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)129511307</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">A portfolio theory of defaultable bonds and its empirical validation</subfield><subfield code="c">vorgelegt von Dirk A. Schubert</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2004</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XII, 256 S.</subfield><subfield code="b">Ill., graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="a">Bonn, Univ., Diss., 2004</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risiko</subfield><subfield code="0">(DE-588)4050129-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Messung</subfield><subfield code="0">(DE-588)4038852-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Junk bond</subfield><subfield code="0">(DE-588)4209156-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Capital-Asset-Pricing-Modell</subfield><subfield code="0">(DE-588)4121078-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Junk bond</subfield><subfield code="0">(DE-588)4209156-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Risiko</subfield><subfield code="0">(DE-588)4050129-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Messung</subfield><subfield code="0">(DE-588)4038852-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="4"><subfield code="a">Capital-Asset-Pricing-Modell</subfield><subfield code="0">(DE-588)4121078-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">GBV Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012986756&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-012986756</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV019658295 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:02:20Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-012986756 |
| oclc_num | 58917395 |
| open_access_boolean | |
| owner | DE-N2 DE-739 DE-384 DE-355 DE-BY-UBR DE-703 DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-12 DE-188 |
| owner_facet | DE-N2 DE-739 DE-384 DE-355 DE-BY-UBR DE-703 DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-12 DE-188 |
| physical | XII, 256 S. Ill., graph. Darst. |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| record_format | marc |
| spelling | Schubert, Dirk A. 1970- Verfasser (DE-588)129511307 aut A portfolio theory of defaultable bonds and its empirical validation vorgelegt von Dirk A. Schubert 2004 XII, 256 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bonn, Univ., Diss., 2004 Risiko (DE-588)4050129-2 gnd rswk-swf Messung (DE-588)4038852-9 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Junk bond (DE-588)4209156-1 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Junk bond (DE-588)4209156-1 s Portfolio Selection (DE-588)4046834-3 s Risiko (DE-588)4050129-2 s Messung (DE-588)4038852-9 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012986756&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schubert, Dirk A. 1970- A portfolio theory of defaultable bonds and its empirical validation Risiko (DE-588)4050129-2 gnd Messung (DE-588)4038852-9 gnd Portfolio Selection (DE-588)4046834-3 gnd Junk bond (DE-588)4209156-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4050129-2 (DE-588)4038852-9 (DE-588)4046834-3 (DE-588)4209156-1 (DE-588)4121078-5 (DE-588)4113937-9 |
| title | A portfolio theory of defaultable bonds and its empirical validation |
| title_auth | A portfolio theory of defaultable bonds and its empirical validation |
| title_exact_search | A portfolio theory of defaultable bonds and its empirical validation |
| title_full | A portfolio theory of defaultable bonds and its empirical validation vorgelegt von Dirk A. Schubert |
| title_fullStr | A portfolio theory of defaultable bonds and its empirical validation vorgelegt von Dirk A. Schubert |
| title_full_unstemmed | A portfolio theory of defaultable bonds and its empirical validation vorgelegt von Dirk A. Schubert |
| title_short | A portfolio theory of defaultable bonds and its empirical validation |
| title_sort | a portfolio theory of defaultable bonds and its empirical validation |
| topic | Risiko (DE-588)4050129-2 gnd Messung (DE-588)4038852-9 gnd Portfolio Selection (DE-588)4046834-3 gnd Junk bond (DE-588)4209156-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Risiko Messung Portfolio Selection Junk bond Capital-Asset-Pricing-Modell Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012986756&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT schubertdirka aportfoliotheoryofdefaultablebondsanditsempiricalvalidation |