Credit Spread Decomposition and Diversification：Evidences from Corporate Bond Indices

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題名:	Credit Spread Decomposition and Diversification：Evidences from Corporate Bond Indices
作者:	孫效孔;林蒼祥;聶建中
貢獻者:	淡江大學財務金融學系
關鍵詞:	Bond pricing;Cointegration;Credit risk;Credit spread;Diversifiable risk
日期:	2005-12
上傳時間:	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
顯示於類別:	[財務金融學系暨研究所] 會議論文

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