Showing 1 - 10 of 57
In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an econometric model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional...
Persistent link: https://www.econbiz.de/10005846814
We investigate the impact of scheduled macroeconomic news announcements on the corporate bond market using daily credit spreads from January 1997 through June 2003. We find that macroeconomic announcements mainly affect high-yield bonds. In particular, the announcement surprises in leading...
Persistent link: https://www.econbiz.de/10012736603
In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an econometric model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional...
Persistent link: https://www.econbiz.de/10012739828
In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an economeic model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional...
Persistent link: https://www.econbiz.de/10012768635
No consensus has yet emerged from the existing credit risk literature on how muchof the observed corporate-Treasury yield spreads can be explained by credit risk. In thispaper, we propose a new calibration approach based on historical default data and showthat one can indeed obtain consistent...
Persistent link: https://www.econbiz.de/10005846829
Recent work has suggested that strategic underperformance of debt-service obligations by equity holders can resolve the gap between observed yield spreads and those generated by Merton (1974)-style models.(...)
Persistent link: https://www.econbiz.de/10005846831
In this paper we conduct a specification analysis of structural credit risk models, using term structure of credit default swap (CDS) spreads and equity volatility from high-frequency return data. Our study provides consistent econometric estimation of the pricing model parameters and...
Persistent link: https://www.econbiz.de/10005721112
This article analyzes the specifications of option pricing models based on time-changed Levy processes. We classify option pricing models based on (i) the structure of the jump component in the underlying return process, (ii) the source of stochastic volatility, and (iii) the specification of...
Persistent link: https://www.econbiz.de/10005699646
``Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and real interest rates" (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation and inflation risk premia using data on prices of...
Persistent link: https://www.econbiz.de/10010551257
Persistent link: https://www.econbiz.de/10001522524