고수익채권시장의 구조 및 위험수익특성에 대한 연구 : Study on the High-yield Bond Market Structure and Risk/reward Characteristics
- 발행기관 서강대학교 경제대학원
- 지도교수 박정수
- 발행년도 2007
- 학위수여년월 200702
- 학위명 석사
- 학과 및 전공 경제대학원
- 식별자(기타) 000000103538
- 본문언어 한국어
초록/요약
고수익채권시장은 본래적 의미에서는 채권시장의 하위시장이지만, 높은 위험프리미엄과 주식과 채권의 성격을 동시에 구비한 특성으로 인해 무위험자산인 국채나 그 반대편에 위치한 대표적 위험자산인 주식에 비해 현격히 구별되는 위험수익특성을 보유하고 있다. 고수익채권의 이러한 특성은 여타 자산과의 낮은 상관관계 및 짧은 듀레이션 등의 특성과 결합됨으로써 포트폴리오의 안정성과 효율성을 높일 뿐 아니라 금융시장에서 투자기회집합(investment opportunity set)을 확장하고 효율적 프론티어(efficient frontier)의 달성을 가능하게 하는 역할을 수행할 수 있다.
more초록/요약
High-yield bonds are issued by organizations that do not qualify for "investment grade" ratings by leading credit rating agencies - Moody''s Investor''s Service, Standard & Poor''s Ratings Services and Fitch IBCA. These issuers must pay a higher interest rate to attract investors to buy their bonds and to compensate them for the risks associated with investing in organizations of lower credit quality. High-yield bonds share characteristics of both fixed income and equities. During an economic upturn, lower default expectations provide price appreciation , which combined with high current income, produces very attractive total returns. During an economic recession, the high current income of high-yield bonds can help to dampen the negative impact of falling prices. Over the long investment horizon, the volatility high yield returns is lower than that of equites. The risk / reward structure of high yield bonds is attractive based on its position above capital market line, between risk-free securities and equities. In addition to a favorable risk / reward structure, lower correlation of high yield with other asset classes on return basis provides even further favorable diversification properties. The high-yield bond market has grown dramatically since early 1980s and this rapid growth has been fueled by U.S. and international investors seeking higher yields, and emerging companies in need of capital to finance growth. The growth of the market has allowed portfolio diversification to help insulate the impact of any one credit problem. The growth in the number of dealers and underwriters has helped to improve the trading liquidity. In Korea, high-yield bond market is in its beginning era and segmented to several parts. To sustain economic growth, efficiency of financial structure should be accompanied with it. The high -yield bonds are meaningful financial instruments of start-up ventures, high-debt companies, capital-intensive companies and LBO investors. Risk should be managed rather than averted.
more