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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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 |
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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. |
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LIM, Kian Guan ZHOU, Yi LI, Yun |
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LIM, Kian Guan ZHOU, Yi LI, Yun |
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LIM, Kian Guan |
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Variations in Credit Spread Term Structures |
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Variations in Credit Spread Term Structures |
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Variations in Credit Spread Term Structures |
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Variations in Credit Spread Term Structures |
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Variations in Credit Spread Term Structures |
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variations in credit spread term structures |
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Institutional Knowledge at Singapore Management University |
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2013 |
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https://ink.library.smu.edu.sg/lkcsb_research/3588 https://www.academicstar.us/issueshow.asp?daid=691 |
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