Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis
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DOI: 10.1007/s10690-011-9149-1
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- Takeaki Kariya & Yoko Tanokura & Hideyuki Takada & Yoshiro Yamamura, 2016. "Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(3), pages 229-262, September.
- Takeaki Kariya & Yoshiro Yamamura & Yoko Tanokura & Zhu Wang, 2015. "Credit Risk Analysis on Euro Government Bonds-Term Structures of Default Probabilities," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(4), pages 397-427, November.
- Takeaki Kariya & Yoshiro Yamamura & Koji Inui, 2019. "Empirical Credit Risk Ratings of Individual Corporate Bonds and Derivation of Term Structures of Default Probabilities," JRFM, MDPI, vol. 12(3), pages 1-29, July.
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Keywords
Cross-sectional bond pricing model; Term structure of interest rates; Subprime shock; Financial crisis; Swap rate; Japanese government bond; Generalized least squares; Forward rate; Discount function;All these keywords.
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