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標題:Credit Spread Decomposition and DiversificationEvidences from Corporate Bond Indices
學年
學期
發表日期2005/12/01
作品名稱Credit Spread Decomposition and DiversificationEvidences 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
語言英文
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
國別中華民國
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
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