Modeling Credit Spreads Using Nonlinear Regression

The term structure of credit spreads is studied with an aim to predict its future movements. A completely new approach to tackle this problem is presented, which utilizes nonlinear parametric models. The Brain-Cousens regression model with five parameters is chosen to describe the term structure of credit spreads. Further, we investigate the dependence of the parameter changes over time and the determinants of credit spreads.

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Year of publication:	2014-01
Authors:	Mirkov, Radoslava ; Maul, Thomas ; Hochreiter, Ronald ; Thomae, Holger
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Proceedings of IWSM 2013, Volume 2: 697-700. 2013
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010735430