Modelling European Credit Spreads

Keywords

Economics, Business

References

• Credit spreads and interest rates: a cointegration approachCharles Morris, Robert Neal, Douglas Rolph — 1998
• Abstract: An Equilibrium Characterization of the Term StructureOldrich A. Vasicek — 1977
• Corporate bond valuation and the term structure of credit spreadsRobert B. Litterman, Thomas Iben — 1991
• The Impact of Seniority and Security Covenants on Bond Yields: A NoteGordon S. Roberts, Jerry A. Viscione — 1984
• The slope of the credit yield curve for speculative-grade issuersJean Helwege, Christopher M. Turner — 1999
• Default Risk and the Duration of Zero Coupon BondsDon M. Chance — 1990
• Recovery Ratios and Survival Times for Corporate BondsIvailo Izvorski, IIzvorski@imf.org — 1997
• JUNK BOND BEHAVIOR WITH DAILY RETURNS AND BUSINESS CYCLESJayen B. Patel, Dorla A. Evans, John E. Burnett — 1998
• Spread Versus Treasuries and the Riskiness of High-Yield BondsMartin S. Fridson, Jón G. Jónsson — 1995
• Does industrial structure explain the benefits of international diversificationSteven L. Heston, K. Geert Rouwenhorst — 1994
• Pricing Derivatives on Financial Securities Subject to Credit RiskRobert A. Jarrow, Stuart M. Turnbull — 1995
• The Resiliency of the High‐Yield Bond Market: The LTV DefaultK. Christopher, Ramesh P. Rao, Richard L. Peterson — 1989
• On the Pricing of Bond Default RiskWilliam J. Hurley, Lewis D. Johnson — 1996
• The relation between Treasury yields and corporate bond yield spreadsGregory R. Duffee — 1998
• The evolution and determinants of emerging market credit spreads in the 1990sSteven B. Kamin, Karsten E. B. von Kleist — 1999
• Factors Affecting Seasoned Corporate Bond PricesCalvin M. Boardman, Richard W. McEnally — 1981
• The Call, Sinking Fund, and Term-To-Maturity Features of Corporate Bonds: An Empirical InvestigationKarlyn Mitchell — 1991
• Credit spreads in the market for highly leveraged transaction loansLazarus A. Angbazo, Jianping Mei, Anthony Saunders — 1998
• Estimating the Price of Default RiskGregory R. Duffee — 1996
• The Investment Performance of Low‐grade Bond FundsBradford Cornell, Kevin Green — 1991

Cited by

• Rating And Other Factors Explaining The Corporate Credit Spread: Empirical Evidence From Tunisian Bond MarketTarek Chebbi — 2008
• Insider Stock Trading and the Bond MarketA. Oehler, Kuntara Pukthuanthong, Thomas Walker — 2015
• Explaining the increased German credit spread: The role of supply factorsAlessio J. G. Brown, Žiga Žarnić — 2003
• Financial Integration in East Asia: How Far? How Much Further to Go?Ramkishen S. Rajan, Reza Siregar, Tony Cavoli — 2006
• A Dynamic Model for Emerging Debt Markets: The Case of Hong Kong Corporate Credit RiskMichael C. S. Wong, Keith Law — 2002
• EINFLUSSFAKTOREN AUF DEN CREDIT SPREAD VON UNTERNEHMENSANLEIHENPhilipp Gann, Amelie Laut — 2008
• Modelling the Dynamics of Credit Spreads of European Corporate Bond IndicesAlexandros Gabrielsen — 2010
• Euro Corporate Bonds Risk FactorsCarolina Castagnetti, Eduardo Rossi — 2013
• Inter-temporal Stability of the European Credit Spread Co-movement StructureJan Annaert, Anouk G.P. Claes, Marc J.K. De Ceuster — 2003
• Modelling Specific Interest Rate Risk with Estimation of Missing DataThomas Siegl, Peter Quell — 2005
• Dynamics of credit spread moments of European corporate bond indexesAmir H. Alizadeh, Alexandros Gabrielsen — 2013
• The systematic risk of corporate bonds: default risk, term risk, and index choiceChristian Klein, Christoph Stellner — 2014
• Interest Rates, Stock Returns and Credit Spreads: Evidence from German EurobondsNiklas Wagner, Warren Hogan, Jonathan A. Batten — 2005
• Liquidity and corporate yield spreads: lessons from Tunisian bond marketTarek Chebbi, Slaheddine Hellara — 2010
• VaR Model Based on SMEs Credit Guarantee Risk PricingShihua Wang, Luo Jian-hua — 2008
• Decomposing European CDS ReturnsAntje Berndt, Iulian Obreja — 2010
• Retail Mortgage Backed Securities, Commercial Asset Backed Securities and Corporate Bonds: a Credit Spread ComparisonLoriana Pelizzon, E. Sottana, E. Rettore — 2004
• On the Bond Market's Evaluation of Insider Stock Trading Activities - Evidence from GermanyA. Oehler, Thomas Walker, Stefan Wendt — 2009
• Default and equity risk premium in the conditions of globalization and the internationalisation of the biggest capital markets of the EU and GFCI countries. Ex post implied equity premium analysisJacek Pera — 2019
• Modeling Bond Spreads and Credit Default Risk in the Norwegian Financial Market Using Structural Credit Default ModelsMathilde Rundhaug, Petter Eilif de Lange, Per Egil Aamo — 2020

Related papers

• The Determinants of Credit Spread ChangesPierre Collin-Dufresn, Robert S. Goldstein, J. Spencer Martin — 2001
• On the Pricing of Corporate Debt: The Risk Structure of Interest RatesRobert C. Merton — 1974
• The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market FactorsRobert Geske, Gordon Delianedis — 2001
• A Simple Approach to Valuing Risky Fixed and Floating Rate DebtFrancis A. Longstaff, Eduardo S. Schwartz — 1995
• The relation between Treasury yields and corporate bond yield spreadsGregory R. Duffee — 1998
• How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?Jing‐Zhi Huang, Ming Huang — 2003
• Systematic Risk in Corporate Bond Credit SpreadsMonica Pedrosa, Richard Roll — 1998
• Modeling term structures of defaultable bondsDarrell Duffie, Kenneth J. Singleton — 1999