Credit Spread
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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Determinants of Credit Spread Changes: Evidence from the Australian Bond Market
... Structural models of default provide insight into the determinants of the credit spread. Beginning with the work of Merton (1974), the basic framework of these studies involves modelling the processes that ...
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Credit Spread Changes within Switching Regimes
... the credit cycle is triggered by an announcement e¤ect and to some extent by a persistence ...the credit cycle drives the opposite sign (with respect to the negative predicted sign) between the risk- free ...
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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
... In accordance with Duffee (1998), using indices consisting of a combination of callable and non-callable bonds does not allow for accurate conclusion to be drawn with regards to variations in conventional yield spreads. ...
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Credit Spread Modeling: Macro-financial versus HOC Approach
... The new approach to the Credit Spread forecasting, suggested in this paper, is based on ARIMA- GARCH model (Engel -Boleslev1996). The model building, as usually, consists of three steps: model ...
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Credit spread variability in U.S. business cycles: The Great Moderation versus the Great Recession
... of credit spread variability, which is along the lines of Gilchrist and Zakrajˇsek ...in credit spreads through the financial accelerator channel, but cannot be regarded as a main driving force of ...
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Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study
... and credit derivatives. We shall allow for credit spread volatility, correlation between the default times of the investor and counterparty, and for correla- tion of each with interest rates, and ...
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Optimal portfolios with a loan dependent credit spread
... particular credit is much higher, the counterpart who is lending the money will definitly claim higher yields than that for government ...i.e. credit spread, to take this credit risk into ...
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Credit Spread Dynamics: Evidence from Latin America
... To provide an insight into the applicability of structural models in market settings that are often described as immature, highly volatile and a region replete with default events, we investigate five important bond ...
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Reverse changes in credit spread and rating spread——An Empirical Study Based on China’s bond market
... Credit spread and rating spread are both important reference indexes for bond pricing and default risk ...of credit spread, the credit spread and rating spread ...
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Credit spread discrepancies between European rated and unrated corporate bonds
... the credit spreads of rated and unrated bonds can be suggested to be the result of various ...that credit ratings provide informational value for investors in the form of inside information and the ...
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Valuing credit spread options under stochastic volatility/interest rates
... a credit spread with some or no correlation with the short term interest rate under an independent stochastic volatility ...European credit spread put options via the put-call parity ...
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Credit Spread and Monetary Policy
... the credit spread of interest ...the credit spread in the money market during the last few years to stimulate the ...that spread-adjusted Taylor rule (STR) that additionally includes ...
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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 with the ...
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CDS Bond Basis Dynamic and Credit Spread Price Discovery: A Test for European Corporate and Sovereign Bond Markets
... The aim of this work is to analyze, through an econometric model, the rela- tionship between the CDS market and the bond market, so to identify whether the new information tends to be absorbed firstly into CDS prices ...
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The myth of the credit spread puzzle
... The results in Huang and Huang (2012) show that many structural models that appear very different in fact generate similar spreads once the models are calibrated to the same historical default rates, recovery rates, and ...
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On credit spread slopes and predicting bank risk
... Our initial sample contains all banking firm debt transactions data found in the National Association of Security Commissioners (NAIC) database for the period 1994 through 1999. The first screen eliminates all debt other ...
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Interest Rates and Credit Spread Dynamics. Robert Neal Indiana University. Douglas Rolph * Nanyang Technological University Nanyang Business School
... between credit spreads and interest rates is much weaker once the call option effects are removed from the ...between credit spreads and interest rates, which suggests that the call feature of corporate ...
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Credit Spread Interdependencies of European States and Banks during the Financial Crisis
... Before government interventions , sovereign credit risk is sensitive to move- ments in the banking CDS market, while changes in the sovereign CDS spreads have a weak impact on sovereign [r] ...
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Contract risks and credit spread determinants in the international project bond market
... Market risk perceptions have long been recognized to be a function of firm-specific variables and, in particular, firm value as embodied by its constituent contracts.' In this paper,[r] ...
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