Suchergebnisse

Albert Mentink (1970) holds Master's degrees in both Economics and Econometrics from the University of Groningen in 1996. He also studied at the K.U. Leuven and the University of Heidelberg. Since 1997 he has been working with AEGON Asset Management in The Hague. Currently he holds a position of operational manager at the quantitative research desk. His research interests are in the fields of interest rate, credit and liquidity risk of corporate bonds. In addition to his professional duties in this full time position, he wrote this PhD thesis. His work has been published in academic journals and books and presented at international conferences. ; De introductie van de girale euro op 1 januari 1999 creëerde één grote obligatiemarkt door de samenvoeging van elf afzonderlijke obligatiemarkten. De in euro luidende bedrijfsobligatiemarkt is sindsdien sterk gegroeid. De groei van bedrijfsobligatiemarkten, luidende in U.S. dollar en euro, en de faillissementen van grote bedrijven, zoals Enron en WorldCom, versnelde de ontwikkeling van kredietrisicomodellen en de toepassingen ervan. Meer recent heeft de modellering en schatting van liquiditeitsrisico veel onderzoeksaandacht van zowel de wetenschap als de praktijk gekregen. Dit proefschrift start met een overzicht van de effecten van de introductie van de euro op de Nederlandse obligatiemarkt. Daarna volgt empirisch onderzoek naar krediet- en liquiditeitsrisico's van bedrijfsobligaties. Kredietrisico concentreert zich op de waardering van step-up obligaties en de optimalisatie van conditional Value-at-Risk van bedrijfsobligatieportefeuilles. Liquiditeitsrisico richt zich op de meeting van liquiditeit van bedrijfsobligaties en de schatting hoe liquiditeit in de bedrijfsobligatie-, staatsobligatie- en aandelenmarkten op elkaar reageren. ; The introduction of the euro on January 1, 1999 created a large, single currency bond market by merging eleven separate bond markets. The euro-denominated corporate bond market has grown substantially ever since. The growth of corporate bond markets, both U.S. dollar and euro, and the defaults of large companies, such as Enron and WorldCom, spurred the development of credit risk models and their applications. More recently, modeling and estimating liquidity risk has generated a lot of research attention from both academics and practitioners. This thesis starts with an overview of the effects of the euro introduction for the Dutch fixed income market and continues with empirical research on corporate bond credit and liquidity risks. Credit risk concentrates on pricing of step-up bonds and on optimizing conditional Value-at-Risk of credit bond portfolios. Liquidity risk focuses on measuring corporate bond liquidity and estimating communality in liquidity between corporate bond, government bond and equity markets.