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Probability of survivall is the probability that the bond does not default.
PS(t) = (1 – hazard rate)^t
PD(t) = hazard rate × PS […] -
short-term volatility reflects uncertainty regarding monetary policy while long-term volatility is most closely associated with uncertainty regarding the real economy and inflation.
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Effective duration can be used to accurately measure the risk associated with parallel yield curve change
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Interpolated rate = rate for lower bound + (interpolated rate − lower bound)(higher bound rate − lower bound rate) / ( upper bound − lower bound)
Swap sprea […]
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build-up method=the risk-free rate+ the equity risk premium+the small stock premium+a company-specific risk premium+industry risk premium
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The Excess Earnings Method
w:working capital A ×rA
f:fixed assets B × rB
ee:excess earnings = E − w − fV:value of intangible assets={ee×(1+b)}/(r-g)
firm value = V+working capital+fixed assets
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EV = market value of common stock + market value of preferred equity + market value of debt + minority interest – cash and investments
earnings surprise = reported EPS − expected EPS
standardized unexpected ear […]
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