English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 60696/93562 (65%)
造访人次 : 1055712      在线人数 : 34
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/95280


    题名: Credit Spread Decomposition and Diversification:Evidences from Corporate Bond Indices
    作者: 孫效孔;林蒼祥;聶建中
    贡献者: 淡江大學財務金融學系
    关键词: Bond pricing;Cointegration;Credit risk;Credit spread;Diversifiable risk
    日期: 2005-12
    上传时间: 2014-02-12 00:03:00 (UTC+8)
    摘要: Following the reduced-form models of corporate bond pricing, specifically Duffee (1999) and Jarrow, Lando and Yu (2003), this study investigates corporate bond credit spreads by distinguishing the idiosyncratic component from the systematic component of credit risk. Starting from a framework of affine model, we find that the idiosyncratic credit spreads do not respond empirically to Treasury yields, unlike what is suggested in the structural model of Longstaff and Schwartz (1995) and literatures that follow. Systematic credit spreads are however positively related to Treasury yields in the long-run, but negatively so in the short run, suggesting the validity of both the tax and the option hypotheses. A long-run and optimal decomposition scheme yields an idiosyncratic credit spread measure at a median of 60 b.p. for the Baa index and is specifically compatible with Duffee's model. It is insensitive to interest rate in the short-run, but would rise slightly with a positive shock in the long run at a one to a hundred rate. The idiosyncratic credit spreads provide significant inferences about the observed conditional corporate bond default rate while the full credit spread does not.
    關聯: 第13屆證券暨金融市場理論與實務研討會論文集,39頁
    显示于类别:[財務金融學系暨研究所] 會議論文

    文件中的档案:

    档案 大小格式浏览次数
    Credit Spread Decomposition and Diversification:Evidences from Corporate Bond Indices_英文摘要.docx16KbMicrosoft Word186检视/开启

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回馈