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Type | Working Paper |
Scope | Discipline-based scholarship |
Title | Classifying Corporate Bonds: A Simple Approach |
Organization Unit | |
Authors |
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Language |
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Series Name | Economic and Financial Computing |
Number | 17 (2) |
Date | 2007 |
Abstract Text | This paper introduces a simple approach to classify corporate bonds. It relies entirely on the quoted price as well as on the quoted bid and ask price of corporate bonds. If current bond prices reflect all the relevant corporate information, then this approach is sufficient for a credit rating which is also up-to-date. We apply the approach outlined in the paper to the group of coupon-bearing bonds issued by banks as well as to other groups of corporate bonds including industrial companies and federal states. Our five-year experience shows that our algorithm works well, even for illiquid markets. |
Official URL | http://www.hj-buettler.ch/papers/6/2007_B_Credit_Abstract.pdf |
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