CREDIT SPREADS PADA REDUCED-FORM MODEL
نویسندگان
چکیده
منابع مشابه
Humpbacks in Credit Spreads∗
Models of credit valuation generally predict a hump-shaped spread term structure for low quality issuers. This is understood to be driven by the shape of the underlying conditional default probabilities curve. We show that (a) recovery assumptions and (b) deviation of bond’s price from par can also drive different term structure shapes. On examining a large set of speculative grade bonds and cr...
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ژورنال
عنوان ژورنال: MEDIA STATISTIKA
سال: 2012
ISSN: 2477-0647,1979-3693
DOI: 10.14710/medstat.4.1.57-63