منابع مشابه
Personal Taxes, Endogenous Default, and Corporate Bond Yield Spreads
Full terms and conditions of use:
متن کاملExplaining bond spreads via default risk, taxes, rating transition, and liquidity
This study develops a semi-structural framework of bond pricing that incorporates default risk, taxes, and bond rating transition, whereas prior papers have primarily focused on the first (and more recently the second) factor. After capturing the three effects, the remaining spread between corporate bond rates and risk free rates can intuitively be attributed to liquidity. Models estimated with...
متن کاملCredit default swap spreads and variance risk premia
0378-4266/$ see front matter 2013 Elsevier B.V. All rights reserved. http://dx.doi.org/10.1016/j.jbankfin.2013.02.021 q We would like to thank Turan Bali, Antje Berndt, Michael Brennan, Darrell Duffie, Robert Geske, Bing Han, Jean Helwege, Robert Jarrow, George Jiang, George Tauchen, Marliese Uhrig-Homburg, Jan Werner, Yelena Larkin, Liuren Wu, Yuhang Xing, and Hong Yan; seminar participants at...
متن کاملRecovering Default Risk from CDS Spreads with a Nonlinear Filter
We propose a nonlinear lter to estimate the time-varying instantaneous default risk from the term structure of credit default swap (CDS) spreads. Based on the numerical solution of the Fokker-Planck equation (FPE) using a meshfree interpolation method, the lter performs a joint estimation of default intensities and CIR model parameters. As the FPE can account for nonlinear functions and nonGaus...
متن کاملNon-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market
In this paper, I show that a sizable component of emerging market sovereign yield spreads is due to factors other than default risk such as liquidity. I estimate the non-default component of the yield spreads as the basis between the actual credit default swap (CDS) premium and the hypothetical CDS premium implied by emerging market bond yields. On average, the basis is large and positive for s...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1985
ISSN: 0022-1082
DOI: 10.2307/2328398