A non-parametric investigation of risk premia
AbstractThis paper investigates features of credit risk using non-parametric techniques, studying determinants of risk premia using a non-parametric term-structure model of the corporate spread. The model, which measures the extra return of defaultable corporate bonds on their government counterparts, involves the rate of inflation, a key macroeconomic variable that is found to explain the spread non-linearly. This approach demonstrates the usefulness of non-linear approaches in contrast with standard linear approaches. The model is also useful to forecast the future course of the spread.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 5126.
Date of creation: 01 Jun 2007
Date of revision: 01 Dec 2007
Risk premium; affine models; non-parametric regression;
Other versions of this item:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-09 (All new papers)
- NEP-ORE-2008-02-09 (Operations Research)
- NEP-RMG-2008-02-09 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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