credit spreads
Impact of Macroeconomic News on Malaysian Bond Credit Spreads
... bond credit spreads, the impact of macroeconomic news on credit spreads has become a topic that has gained a lot of attention and discussions by financial ...the spreads of these two ...
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Price Discovery of Credit Spreads in Tranquil and Crisis Periods
... in credit spreads were an important contributing factor to asset price ...of credit spreads on bond prices and recent research has started to single out and analyse a credit risk factor ...
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Modelling the Dynamics of Credit Spreads of European Corporate Bond Indices
... the credit spread changes relies explicitly on the relationship between credit spreads and interest ...that credit spreads are negatively related to interest rates, and credit ...
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Credit Spreads And Systematic RiskIn The U.S. Banking Industry - A Neural Network Model Approach
... principal credit spreads in the fixed income market catalyzed a defined regime shift in systematic risk proximate the financial crisis, and was more influential to the quantification of realized systematic ...
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Macroeconomic Determinants of Credit Spreads: An Empirical Comparison between Chinese and American Corporate Bonds
... for credit spread calculation were chosen based on the different conditions of the two ...The credit spread of the corporate bond was obtained by subtracting the yield to maturity of the same remaining ...
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Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels
... in credit spreads could arise from common or firm-specific ...of credit spreads should be accounted for by ...either credit spreads are related to other systematic factors or ...
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Testing Merton's model for credit spreads on zero coupon bonds
... Finally, with respect to conclusions, we find that there are systematic movements over time in the the difference between market spreads and model spreads. This difference is sensitive to market volatility, ...
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Taxation, Credit Spreads and Liquidity Traps
... and credit spreads, all else ...of credit spreads is determined by the nature of the shock hitting the ...shocks, credit spreads are countercyclical with respect to GDP, whereas ...
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Downside risk and the size of credit spreads
... to spreads is likely to be the correct one, even if the ‘perfect’ model remains ...large credit spreads due to the presence of downside jump-risk ...
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Determinants of Euro Term Structure of Credit Spreads. NBB Working Paper Nr. 57, July 2004
... credit spreads. While the latter investigates a panel data set of credit spreads on individual US cor- porate bonds, this study focuses on the euro term structure of credit ...
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Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
... (1974), credit risks mainly reflect firm-level financial factors responsible for the possibility of individual default, while interest rate risks are only determined by market-wide factors common among individual ...
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The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk
... the credit risk of the reference entity, there are not many on the credit risk of the protection ...of credit spreads on these markets is now more important than ever as this financial ...
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Essays On Economic Uncertainty And Macro-Finance
... that credit risk premium and liquidity premium offset each ...yield spreads capture the two sources of premium with different ...bond spreads are due to credit risks. On the other hand, some ...
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Credit Risk and Nonlinear Filtering: Computational Aspects and Empirical Evidence
... In a statement released in 2007, the US Treasury Secretary complained about the huge number of accounting data revisions in the US market. He claimed that some 1500 firms revise their balance sheet figures every year, ...
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Modelling the Conditional Variance and Asymmetric Response to Past Shocks in the Malaysian Bond Market**
... pricing, credit spreads also reflects investors’ behaviour as it changes systematically with changes in the ...the spreads (Demchuk & Gibson, 2006; Fabozzi, 2007; Krainer, ...daily spreads ...
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Credit default swap spread model : descriptive and predictive, insight in the determinants of cds spreads
... on spreads, and modelling as such. Spreads are dealt with in different ...the spreads studied are corporate bond spreads. One can define credit spreads in this case as the ...
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What central banks can learn about default risk from credit markets
... bond spreads. They demonstrate that for spreads characteristic of BBB-rated issuers, the error is rather small in the presence of a flat term structure (5 basis points per 100 basis points of credit ...
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Trading strategies with implied forward credit default swap spreads
... average credit default premia quantified by CMCDS ...in credit markets particularly in the 2008-2013 ...why spreads on corporate bonds are so much larger than expected losses from ...to ...
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FAMILIAL DE LANGE SYNDROME WITH CHROMOSOME ABNORMALITIES
... In the three affected children all analyzed spreads displayed a loss of a chromosome in the C group and an extra metacentric chromosome similar in size to those of the E group. Spreads w[r] ...
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The effects of 2007-2008 crisis on the CDS and the interbank markets: Empirical investigations
... distribution of borrowing and lending rates in the European interbank market. This novel methodology, hardly explored in this context, provides more flexibility for accommodating the above mentioned stylized facts than ...
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