Exploring Common Factors in the Term Structure of Credit Spreads
Language: en
Pages: 49
Authors: Seung C. Ahn
Categories:
Type: BOOK - Published: 2012 - Publisher:

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This paper provides a new approach to model the common variation in the term structure of credit spreads. The novelty is that common factors are extracted using
Macro Factors in the Term Structure of Credit Spreads
Language: en
Pages: 72
Authors: Jeffery D. Amato
Categories: Corporate bonds
Type: BOOK - Published: 2006 - Publisher:

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We estimate arbitrage-free term structure models of US Treasury yields and spreads on BBB and B rated corporate bonds in a doubly-stochastic intensity-based fra
Modern Multi-Factor Analysis of Bond Portfolios
Language: en
Pages: 137
Authors: Giovanni Barone-Adesi
Categories: Business & Economics
Type: BOOK - Published: 2015-12-03 - Publisher: Springer

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Where institutions and individuals averagely invest the majority of their assets in money-market and fixed-income instruments, interest rate risk management cou
The Shape of the Term Structure of Credit Spreads
Language: en
Pages:
Authors: Mascia Bedendo
Categories:
Type: BOOK - Published: 2010 - Publisher:

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In this empirical paper we investigate the role of interest rate, market and idiosyncratic equity variables in explaining the entire shape of the term structure
The Term Structure of Credit Spreads and the Economic Activity
Language: en
Pages:
Authors:
Categories:
Type: BOOK - Published: - Publisher:

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We estimate arbitrage-free term structure models of US Treasury yields and spreads on BBB and B-rated corporate bonds in a doubly- stochastic intensity-based fr