20.500.12556/RUL-103257 Modeliranje likvidnostne premije na podjetniških obveznicah delo diplomskega seminarja Modeling the liquidity premium on corporate bonds Likvidnostna premija je ena od lasnosti obveznice, ki je ne moremo opazovati na trgu. Da bi jo izračunali, tako konstruiramo model, ki temelji na tri stopenjskem postopku. V prvi fazi z regresijo modeliramo razpon ponudbe in povpraševanja, ki je kazalnik likvidnosti, kot funkcijo karakteristik obveznice. Tako dobimo nov kazalnik likvidnosti, neodvisen od karakteristik obveznice, ki ga poimenujemo $RBAS$. V drugem koraku modeliramo kreditni razpon kot funkcijo karakteristik obveznice, ter $RBAS$-a. V tretji fazi ekstrapoliramo $RBAS$ v regresijskem modelu v 0, ter tako dobimo kreditni razpon enake, a popolnoma likvidne obveznice. Od kreditnega razpona obveznice odštejemo kreditni razpon popolnoma likvidne obveznice in dobimo likvidnostno premijo. Nato naredimo nov regresijski model, ki likvidnost transakcije obravnava v odvisnosti od likvidnosti obveznice, velikosti transakcije, dnevnega donosa, časa ter tega kdo je začel nakup oziroma prodajo. Model uporabimo v praksi in ugotovimo, da je razpon ponudbe in povpraševanja najbolj odvisen od trajanja obveznice in nominalne vrednosti. Prav tako ugotovimo, da je kreditni razpon obveznice močno odvisen od nominalne vrednosti in trajanja. Liquidity premium is one of characteristics that we cannot observe on the market. We construct a model that is based on a three stage recipe to compute it. In the first stage we use regression to model bid-ask spread, a liquidity proxy, as a function of bond characteristics. As a result, we get a liquidity proxy independent of bonds characteristics that we name $RBAS$. In the second stage we model credit spread as a function of bond characteristics and $RBAS$. In the third stage we extrapolate $RBAS$ in the regression model to 0 wich gives us credit spread of an identical but perfectly liquid bond. We then deduct this prefectly liquid credit spread away from the bonds credit spread and get a liquidity premium. We then construct another regression model that models liquidity of a transaction as a function of bond liquidity, size of transaction, daily yield, time and who initiated the transaction. We use this model in practice and observe that the bid-ask spread is highly dependent on bond duration and nominal value. We also observe that the credit spread depends on nominal value and duration of a bond. likvidnostna premija razpon ponudbe in povpraševanja kreditni razpon obveznice Liquidity premium bid-ask spread credit spread bonds true false false Slovenski jezik Angleški jezik Delo diplomskega seminarja/zaključno seminarsko delo/naloga 2018-09-15 07:46:22 2018-09-15 07:46:23 2022-08-16 03:40:57 0000-00-00 00:00:00 2018 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 519.8 90463 18435929 337.pdf 337.pdf 1 40CA93B55FCAE0620B38EAF47B7790A0 d62b5a01b33eaf802f415634d49ee2095d17932aa72da95ddb8a54f7f866db86 c1920122-a1b5-11eb-a523-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=113663 338.R 338.R 1 20512AECA7A7192FB52984A1491468F0 35c3d6ae0f8d1549c5cab6f1a5292504438669a0452cc4b8bf68d36818f3799f c1a2aa80-a1b5-11eb-a523-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=113664 Fakulteta za matematiko in fiziko 0 0 0