A Methodological Approach for the Valuation of Callable Bonds in Emerging Markets: The TGI Example

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2010

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Cuadernos de Administración

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Ce document est lié à :
http://www.redalyc.org/revista.oa

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REDALYC : Red de Revistas Científicas de América Latina y el Caribe, España y Portugal

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Red de Revistas Científicas de América Latina y el Caribe, España y Portugal

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Cuadernos de Administración

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Administración y Contabilidad OAS Valuation callable bonds emerging markets

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Pattern Model

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Edgardo Cayón Fallón et al., « A Methodological Approach for the Valuation of Callable Bonds in Emerging Markets: The TGI Example », Cuadernos de Administración, ID : 10670/1.5garpv

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"This article aims to shed light on the issues that stock brokers face upon implementing the binomial model when valuating corporate bonds with a multiple exercise option for the issuer. To that end, the proposed methodology is used to valuate this type of instrument in the company Transportadora de Gas del Interior Internacional Ltda. (TGI). In the specific case of TGI, it was found that the binomial model enables finding the value of the spread points that can be attributed to the option and that, employing that measure, the sole risk measure attributable to a specific corporate activity can be obtained."

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