IMPLIED DEFAULT RATE CALCULATION METHOD OF INDIVIDUAL ISSUE OF CORPORATE DEBENTURE, STANDARD IMPLIED DEFAULT RATE CALCULATION METHOD AND SECURITY EVALUATION METHOD USING THEM

摘要

PROBLEM TO BE SOLVED: To provide a calculation method of a default rate capable of determining roughly simultaneously the level of a debenture changing every day.;SOLUTION: A risk premium portion final yield which is a spread deduced by subtracting the final yield of a national loan having an equivalent cash flow from the final yield of a corporate debenture is multiplied by the final term of redemption of the corporate debenture and a market price, and the numerical value acquired resultantly is divided by a numerical value acquired by adding 100 to a numerical value acquired by multiplying a coupon of the corporate debenture by the final term of redemption, to thereby calculate the default rate of the corporate debenture.;COPYRIGHT: (C)2002,JPO