A Methodological Approach for the Valuation of Callable Bonds in Emerging Markets: The TGI example (Borrador de administración No. 9)
Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio
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The purpose of this paper is to clarify some of the difficulties that a practitioner may find in implementing the binomial model for valuing a corporate bond with multiple embedded options in emerging markets. Especially, when faced with the dilemma of determining which should be the proxy variables for the risk-free rate, sovereign risk and country specific risk.
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