Credit risk in Islamic joint venture bond

    Research output: Contribution to journalArticleResearchpeer-review

    10 Citations (Scopus)

    Abstract

    This paper focuses on Islamic joint venture (IJV) bonds and examines whether conventional structural credit risk models capture Islamic bonds underlying risk. Their various extensions have first been adjusted for the IJV bonds unique characteristics and then tested through simulations to identify any appraisal issues. The models are then used to assess data from 52 Malaysian Islamic bond issuers. We find that conventional structural models and their Islamic extensions misevaluate IJV bonds and so afford them lower credit ratings.
    Original languageEnglish
    Pages (from-to)S129 - S145
    Number of pages17
    JournalJournal of Economic Behavior and Organization
    Volume103
    DOIs
    Publication statusPublished - 2014

    Cite this

    @article{98ec752e62d044279676e4681bd40463,
    title = "Credit risk in Islamic joint venture bond",
    abstract = "This paper focuses on Islamic joint venture (IJV) bonds and examines whether conventional structural credit risk models capture Islamic bonds underlying risk. Their various extensions have first been adjusted for the IJV bonds unique characteristics and then tested through simulations to identify any appraisal issues. The models are then used to assess data from 52 Malaysian Islamic bond issuers. We find that conventional structural models and their Islamic extensions misevaluate IJV bonds and so afford them lower credit ratings.",
    author = "Saad Azmat and Skully, {Michael Thomas} and Brown, {Kym Eva}",
    year = "2014",
    doi = "10.1016/j.jebo.2014.03.020",
    language = "English",
    volume = "103",
    pages = "S129 -- S145",
    journal = "Journal of Economic Behavior and Organization",
    issn = "0167-2681",
    publisher = "Elsevier",

    }

    Credit risk in Islamic joint venture bond. / Azmat, Saad; Skully, Michael Thomas; Brown, Kym Eva.

    In: Journal of Economic Behavior and Organization, Vol. 103, 2014, p. S129 - S145.

    Research output: Contribution to journalArticleResearchpeer-review

    TY - JOUR

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    AU - Azmat, Saad

    AU - Skully, Michael Thomas

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    AB - This paper focuses on Islamic joint venture (IJV) bonds and examines whether conventional structural credit risk models capture Islamic bonds underlying risk. Their various extensions have first been adjusted for the IJV bonds unique characteristics and then tested through simulations to identify any appraisal issues. The models are then used to assess data from 52 Malaysian Islamic bond issuers. We find that conventional structural models and their Islamic extensions misevaluate IJV bonds and so afford them lower credit ratings.

    U2 - 10.1016/j.jebo.2014.03.020

    DO - 10.1016/j.jebo.2014.03.020

    M3 - Article

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    JF - Journal of Economic Behavior and Organization

    SN - 0167-2681

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