Variations in Credit Spread Term Structures

Variations in Credit Spread Term Structures

This paper examines the slope and structure of credit spread curves across different ratings. We initially bootstrap a separate risky spot curve for each firm in the sample and then provide a parsimonious method to determine the shapes of the various credit spread curves. This procedure is more scie...

Full description

Saved in:
Bibliographic Details
Main Authors: LIM, Kian Guan, ZHOU, Yi, LI, Yun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
corporate bond
credit risk
credit spread term structure
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3588
https://www.academicstar.us/issueshow.asp?daid=691
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/3588
https://www.academicstar.us/issueshow.asp?daid=691

Similar Items