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Dynamical analysis of corporate bonds based on the yield spread term-quality surface

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  • Tomoaki Shouda

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    File URL: http://hdl.handle.net/10.1007/s10690-006-9028-3
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 12 (2005)
    Issue (Month): 4 (December)
    Pages: 307-332

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    Handle: RePEc:kap:apfinm:v:12:y:2005:i:4:p:307-332

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    Web page: http://springerlink.metapress.com/link.asp?id=102851

    Related research

    Keywords: Default risk; Hazard rate; Yield spread term-quality surface; Credit quality; Spread risk; Markov state variable; No-arbitrage; C32; C33; C51; G33;

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    References

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    1. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
    2. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Duffee, Gregory R, 1999. "Estimating the Price of Default Risk," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 197-226.
    4. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
    5. Constantinides, George M, 1992. "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 531-52.
    6. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-64, May.
    7. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    8. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
    9. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
    10. Christophette Blanchet-Scalliet & Monique Jeanblanc, 2004. "Hazard rate for credit risk and hedging defaultable contingent claims," Finance and Stochastics, Springer, vol. 8(1), pages 145-159, January.
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