42. The spreads could be even wider as the security, in this example, has crossed the threshold from being an investment-grade security to a non-investment-grade one.

43. The widening of credit-spreads globally, despite falling Treasury rates, during the Asian and Russian debt crises of the latter half of 1998 and the more recent global financial market illiquidity in 2007–2008 have further enhanced portfolio managers’ sensitivity to credit-spreads.

44. Michael J. Brennan and Eduardo S. Schwartz, “Analyzing Convertible Bonds,” Journal of Financial and Quantitative Analysis (1980) pp 907–929.

45. Jonathan E. Ingersoll, Jr., “A Contingent-Claims Valuation of Convertible Securities,” Journal of Financial Economics (1977) pp. 289–322.

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