Bertocchi, Marida; Giacometti, Rosella; Zenios, Stavros A. - Financial Institutions Center, Wharton School of Business - 2000
In this paper we develop a multi-factor model for the yields of corporate bonds. The model allows the analysis of factors which influence the changes in the term structure of corporate bonds. More than 98% of the variability in the corporate bond market is captured by the model, which is then...
