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Kreditrisiko
option-adjusted spreads
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Credit risk in G20 nations : a comparative analysis in international finance using
option-adjusted-spreads
Boliari, Natalia
;
Topyan, Kudret
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
1
,
pp. 1-23
Corporate bond yields are the manifestation of the cost of financing for private firms, and if properly evaluated, they provide researchers with valuable risk information. Within this context, this work is the first study producing corporate yield spreads for all S&P-rated bonds of G20 nations...
Persistent link: https://www.econbiz.de/10012813581
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2
Understanding Mortgage Spreads
Boyarchenko, Nina
;
Fuster, Andreas
;
Lucca, David O.
-
2014
to
option-adjusted
spreads
. With this pricing model, we find that prepayment model risk explains the smile, while the … out of
option-adjusted
spreads
across different coupons. …
Persistent link: https://www.econbiz.de/10010404146
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