Modelling credit risk in Indian bond markets

IIMA Institutional Repository

Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/786

Full metadata record

DC Field	Value	Language
dc.contributor.author	Varma, Jayanth R.	-
dc.contributor.author	Raghunathan, V.	-
dc.date.accessioned	2010-01-16T11:42:30Z	-
dc.date.available	2010-01-16T11:42:30Z	-
dc.date.copyright	2000-04	-
dc.date.issued	2010-01-16T11:42:30Z	-
dc.identifier.uri	http://hdl.handle.net/11718/786	-
dc.description.abstract	Government bonds are subject only to interest rate risk. However, corporate bonds are subject to credit risk in addition to interest rate risk. Credit risk subsumes the risk of default as well as the risk of an adverse rating change. Considerable work has been done in the US and other countries on credit rating migrations. However, there is little work done in India in this regard. In this paper therefore, we analyse credit rating migrations in Indian corporate bond market to bring about greater understanding of its credit risk.	en
dc.language.iso	en	en
dc.relation.ispartofseries	WP;2000-04-02/1594	-
dc.subject	Bond market - Asia	en
dc.subject	Government Bonds	en
dc.subject	Credit risk	en
dc.title	Modelling credit risk in Indian bond markets	en
dc.type	Working Paper	en
Appears in Collections:	Working Papers

Files in This Item:

File	Description	Size	Format
WP 2000_1594.pdf		1.02 MB	Adobe PDF	View/Open