Modelling and calibration of credit-risky bonds
This thesis examines the corporate bond market in Japan during 1996-2001. The objective is to collect data, test and analyze the predictive ability of the Jarrow, Lando and Turnbull proposed Markov model for the term structure of credit risky spreads with the Kijima - Komorobayashi adjustment, in th...
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Main Authors: | , , |
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Format: | Theses and Dissertations |
Published: |
2008
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Subjects: | |
Online Access: | http://hdl.handle.net/10356/7316 |
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Institution: | Nanyang Technological University |