Valuation of structured bonds in illiquid markets

dc.contributor.authorGora, Benard
dc.date.accessioned2014-02-17T11:07:33Z
dc.date.available2014-02-17T11:07:33Z
dc.date.issued2014-02-17
dc.descriptionThesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013.en_ZA
dc.description.abstractCorporations often find it difficult to raise capital in illiquid markets such as most African markets and if they do they pay a premium which is not only costly to them but also propagates illiquidity in these markets. Convertible bonds provide a cheaper source of nancing for issuers with the optionality of maintaining targeted capital structures. However, these instruments are not popular in these markets as they are less understood compared to their conventional counterparts and if used are often mispriced. The main objective of this research is to provide a valua- tion framework for structured bonds, speci cally convertible bonds where market imperfections such as illiquidity are prevalent. This will entail customising the standard valuation framework so that these market imperfections are incorporated in the model. The valuation framework of the convertible bond is then applied to an illiquid market where several deviations from the perfect-market benchmarks exist and then observe what e ect these deviations have by comparing the theo- retical value to that of a convertible bond assuming the market is liquid.en_ZA
dc.identifier.urihttp://hdl.handle.net10539/13791
dc.language.isoenen_ZA
dc.subjectBondsen_ZA
dc.subjectStructured bondsen_ZA
dc.subjectConvertible bondsen_ZA
dc.subjectIlliquidityen_ZA
dc.subjectValuationen_ZA
dc.titleValuation of structured bonds in illiquid marketsen_ZA
dc.typeThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
Thesisb.pdf
Size:
1.03 MB
Format:
Adobe Portable Document Format
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Collections