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...

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Main Authors: LIM, Kian Guan, ZHOU, Yi, LI, Yun
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Language:English
Published: Institutional Knowledge at Singapore Management University 2013
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3588
https://www.academicstar.us/issueshow.asp?daid=691
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spelling sg-smu-ink.lkcsb_research-45872016-02-10T07:43:30Z Variations in Credit Spread Term Structures LIM, Kian Guan ZHOU, Yi LI, Yun 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 scientific and efficient than the visual observation employed traditionally. We find that credit spread curves of the various-graded bonds are much more variant and do not necessarily follow the few patterns prescribed by existing research. However, we can still see clearly that they are downward sloping when bonds are close to default. 2013-07-01T07:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/3588 info:doi/10.15341/jbe(2155-7950)/07.04.2013/003 https://www.academicstar.us/issueshow.asp?daid=691 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University corporate bond credit risk credit spread term structure Finance and Financial Management
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic corporate bond
credit risk
credit spread term structure
Finance and Financial Management
spellingShingle corporate bond
credit risk
credit spread term structure
Finance and Financial Management
LIM, Kian Guan
ZHOU, Yi
LI, Yun
Variations in Credit Spread Term Structures
description 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 scientific and efficient than the visual observation employed traditionally. We find that credit spread curves of the various-graded bonds are much more variant and do not necessarily follow the few patterns prescribed by existing research. However, we can still see clearly that they are downward sloping when bonds are close to default.
format text
author LIM, Kian Guan
ZHOU, Yi
LI, Yun
author_facet LIM, Kian Guan
ZHOU, Yi
LI, Yun
author_sort LIM, Kian Guan
title Variations in Credit Spread Term Structures
title_short Variations in Credit Spread Term Structures
title_full Variations in Credit Spread Term Structures
title_fullStr Variations in Credit Spread Term Structures
title_full_unstemmed Variations in Credit Spread Term Structures
title_sort variations in credit spread term structures
publisher Institutional Knowledge at Singapore Management University
publishDate 2013
url https://ink.library.smu.edu.sg/lkcsb_research/3588
https://www.academicstar.us/issueshow.asp?daid=691
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