corporate bond yield spread
US Corporate Bond Yield Spread: A default risk debate
... risky corporate debt ...risky corporate securities which is evident in structural models of valuing credit ...US corporate bond yield spread during recent financial crisis ...
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Analysis of Corporate Bond Yield Spread Based on the Volatility Clustering Effect
... of corporate bond yield because it could reflect the data character ...of corporate bond ...OF CORPORATE BOND YIELDS In FIG. 1, corporate bond yields curve ...
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Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels
... individual corporate bond yield spread while extending the concept of credit spread ...individual corporate bonds in ...individual corporate yield ...with ...
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Convenience yield on government bonds and unconventional monetary policy in Japanese corporate bond spreads
... credit spread after March 11, 2011 is lower across all rating classes than before this ...the bond underwriting market in ...the corporate bond market caused by the Great East Japan earthquake ...
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Collateral and Yield Spread of Syndicated Loans
... Panel A of table 2 presents the descriptive statistics regarding the types and purposes of the loans, and the types of the borrowers. There are 17 major loan types in the data sample. We report the 6 major categories in ...
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Loan Loss Provisioning of the U S Commercial Banks after the Financial Crisis
... and bond defaults are related through the business cycle has been ...use bond market data and find rating transition matrices vary across business ...and corporate default yield spread ...
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Determinants Of Corporate Bond Yield In Indonesia: A Research Proposal
... rates. Spread is a risk that is tolerated by investors for the purchase of non-government bonds issued and the difference is known as risk ...the bond interest rate is calculated by adding a risk premium to ...
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Performance of corporate bond indices: an approach inspired by Merton’s model
... high yield corporate bond ...the corporate bonds will also ...high yield bonds in the actual market will sell below the clean market value is realized by a call ...call spread ...
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Essays On Economic Uncertainty And Macro-Finance
... Aaa-Treasury spread is negatively related to the debt-to-GDP ratio in a level ...GZ spread is ...different yield spreads capture the two sources of premium with different ...long-term bond ...
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Diversifying Risks in Bond Portfolios: A Cross border Approach
... of yield spreads over risk-free benchmarks determine if spreads are adequately assessed and practically applicable for practitioners to revise ...major corporate bond risk components in literature ...
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Structural models of corporate bond prices
... absolute yield or spread prediction errors in terms of 80 to 90 basis points (the mean absolute yield error for ERMLE, Calibration and unrestricted SMLE are 95 bp, 95 bp and 36 bp ...
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Creditor rights and corporate bond market
... protection, corporate bond markets are more likely to develop during a banking crisis and thus act as a ‘spare ...the corporate bond market sprang to ...Korean bond market provided ...
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Dynamics of parallel development of the bond market indices in the US market and its multidimensional copula models
... Investment Bond indices (US IBI) includes the Investment grade bond index (Igbi), High yield corporate bond index (Hybi), and the Investment grade bond index SP500 (SP) in the ...
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Managing Financially Distressed Pension Plans in the Interest of Beneficiaries
... funding spread, 𝛿𝛿 𝑡𝑡 𝐷𝐷 , of between ...a spread of 1.74% over the yield on a government ...same spread when 𝛾𝛾 = 7 ...funding spread implies an allocation of 62% to bonds and 38% to ...
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DETERMINANTS OF THE DEVELOPMENT OF THE CORPORATE BOND MARKET IN LATVIA
... the corporate bond market in Latvia while being quick and robust in the period 2012-2017 (the average growth rate 131%, median 44%), has faced major challenges in 2018 (Nasdaq Baltic, ...the ...
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Measuring Monetary Conditions in US Asset Markets A Market Specific Approach
... the corporate equity price bubble. The impact of the corporate equity price bubble on households was noticeable since corporate equity makes up a considerable portion in households’ asset ...
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The CDS bond basis arbitrage and the cross section of corporate bond returns
... is bond ratings by the S&P whenever available, or by Moody’s or Fitch ...is bond duration in years. Indliq is a bond liquidity measure defined the sum of the turnover of the individual ...
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Explaining the US Bond Yield Conundrum
... US-bond yield model driven by monetary policy, the business cycle and inflation ...US bond model increases to values not seen in the past when data for 2006 are ...of bond yields below their ...
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Is there a safety premium in the design of corporate bond contracts?
... on bond issuers who were originally founded under the special Act, and who issued general mortgage bonds but were excluded from application of the special Act due to its organizational restructuring; see Table 1 ...
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QUANTITATIVE ACCOUNTING INFORMATION AND BOND MARKET YIELD: EVIDENCE FROM NIGERIA CAPITAL MARKET 2003-2012
... the yield of bond market while the interest coverage activity will generate negative effect of ...the bond market returns and may discourage investors from investing in the bond market and ...
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