Changes in the Credit Spread
The Determinants of Credit Spread Changes
... of Credit Spread Changes PIERRE COLLIN-DUFRESNE, ROBERT ...of credit spread ...determine credit spread changes have rather limited explanatory ...monthly ...
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The determinants of credit spread changes in Japan
... between credit spread changes in Japan and financial and macroeconomic variables such as the risk-free interest rate and stock price ...that credit spreads in Japan are negatively correlated ...
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Spurious Cross-Sectional Dependence in Credit Spread Changes
... company credit ratings and the correlations of the η i residuals with the market portfolio of the residuals, where the market portfolio of residuals is simply a mean of all the ...their credit spread ...
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Spurious Cross-Sectional Dependence in Credit Spread Changes
... In this section we perform an analysis on a differently constructed panel of credit spreads. A time series of company observations that is as long as possible is constructed. For each company, we collect all the ...
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Determinants of Credit Spread Changes: Evidence from the Australian Bond Market
... of credit spread changes on corporate bonds in the Australian ...different credit spread changes are analysed corresponding to bonds of four different credit ratings and ...
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Assessing and managing credit risk of. Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes
... bond credit spreads using both weekly and monthly option-adjusted spreads for nine Merrill Lynch corporate bond indexes from January 1997 through July ...explaining credit spread changes, ...
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Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices
... option-adjusted credit spreads from the S&P from December 31, 1998 to July 31, ...investment-grade credit spread index and the ...speculative-grade credit spread ...option-adjusted ...
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Credit Spread Changes within Switching Regimes
... the credit spread puzzle? Inspection of the credit spread behavior at the beginning and the end of the economic cycle reveals that credit spreads have their own ...months, credit ...
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Reverse changes in credit spread and rating spread——An Empirical Study Based on China’s bond market
... between credit spread and rating ...rating spread expands and credit risk spread narrows, whether there is transfer of investment preferences in the market is ...rating spread ...
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Credit Spread Changes in the Euro Area - An Empirical Study of the Relationship Between Interest Rates and Credit Spreads in the Euro-denominated Corporate Bond Market
... the changes in firm leverage, slope of the government yield curve and implied volatility of S&P 500 in addition to the risk-free interest rate and return of S&P ...explaining credit spreads is related to a ...
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The myth of the credit spread puzzle
... For speculative-grade bonds, the explanatory power of the regression at the individual bond level is only 13%, showing that the model has only limited ability to price speculative-grade bonds. To give an indication on ...
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Pricing considerations of credit default swaps and credit spread options.
... sive. 3.5. KMV Expected Default Frequency (EDF) Models These models are based on the idea that a company goes bankrupt and defaults when its liabilities exceed its value as calculated by its shares. That means, using a ...
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Workshop B: Credit Spread Trends In The Energy Sector
... to changes during an interim period when Standard & Poor's Ratings Services has updated certain criteria and other information which let to ratings changes, which may not be reflected in certain ...
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Credit Spread Dynamics: Evidence from Latin America
... the changes in credit spreads of US dollar denominated sovereign Eurobonds of Latin America negatively related to changes in asset, and interest rate factors? This study seeks to answer these ...
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Spread Bet Terms: Standard Credit Accounts
... 6.4 We reserve the right to vary: - • the method of calculating the financing charge and/or any elements that form part of the calculation; • the types of Spread Bets to which the financing charge is applied. The ...
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Explaining changes in the spread of Congressional Committee jurisdictions
... to spread less because of distributive effects and more because of the number of members facilitates the need for more ...naturally spread than House ...
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The timeliness of CDS spread changes in predicting corporate default, *
... 2008 credit crisis, and CDS prices grew to extraordinary ...GMAC spread which grew to 17700 basis points, or 170% above the risk free ...the credit crisis, and the results have actually been ...
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A Note on Credit Spread Forwards
... of credit spread forwards, discusses two alternative definitions and proposes one of these definitions as the standardized version that should be used in the future to prevent ...this credit deriva- ...
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Credit Spread and Monetary Policy
... the credit spread can be positive or negative depending on the …nancial ...the credit spread when the central bank hits the zero lower bound on the policy ...
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The credit spread puzzle 1
... The relationship between overcollateralisation and diversification can be discerned from the graph below. The three curves in the left-hand panel correspond to collateral pools of different sizes. The graph plots the ...
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