| Credit Spread Decomposition and Diversification：Evidences from Corporate Bond Indices | |
|---|---|
| 學年 | 94 |
| 學期 | 1 |
| 發表日期 | 2005-12-01 |
| 作品名稱 | Credit Spread Decomposition and Diversification：Evidences from Corporate Bond Indices |
| 作品名稱（其他語言） | |
| 著者 | 孫效孔; 林蒼祥; 聶建中 |
| 作品所屬單位 | 淡江大學財務金融學系 |
| 出版者 | |
| 會議名稱 | 第13屆證券暨金融市場理論與實務研討會 |
| 會議地點 | 高雄, 臺灣 |
| 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. |
| 關鍵字 | Bond pricing;Cointegration;Credit risk;Credit spread;Diversifiable risk |
| 語言 | en |
| 收錄於 | |
| 會議性質 | 國內 |
| 校內研討會地點 | |
| 研討會時間 | 20051201~20051201 |
| 通訊作者 | |
| 國別 | TWN |
| 公開徵稿 | Y |
| 出版型式 | 紙本 |
| 出處 | 第13屆證券暨金融市場理論與實務研討會論文集，39頁 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95280 ) |
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