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The nonlinear dynamics of corporate bond spreads : regime-dependent effects of their determinants
Fischer, Henning; Stolper, Oscar - 2019
rate movements - contributes to driving up spreads. Moreover, while market-wide liquidity risk is not priced when …
Persistent link: https://www.econbiz.de/10011979160
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Time-varying asset volatility and the credit spread puzzle
Du, Du; Elkamhi, Redouane; Ericsson, Jan - 2016
Most extant structural credit risk models underestimate credit spreads while matching default rates, recoveries, leverage, and equity risk premia - a shortcoming known as the credit spread puzzle. We calibrate and estimate a model able to explain medium to long-term credit spreads by...
Persistent link: https://www.econbiz.de/10011721554
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Downside risk and defaultable bond returns
Liang, Xinting; Yang, Baochen; Su, Yunpeng; An, Yunbi - In: Journal of management science and engineering 6 (2021) 1, pp. 99-110
and contains almost all valid information on liquidity risk. As the credit level decreases, the explanatory power of …
Persistent link: https://www.econbiz.de/10013206142
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The regime-switching structural default risk model
Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33
and an extension of the MDR model with changes in drift parameters, using maximum likelihood estimation. Focusing on the …
Persistent link: https://www.econbiz.de/10014497430
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Forecasting credit default swap premiums with Google search volume
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 52-85). 2016
Persistent link: https://www.econbiz.de/10011733592
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Commonality in liquidity in the US corporate bond market
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 86-129). 2016
Persistent link: https://www.econbiz.de/10011733594
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Liquidity and credit risks in the UK's financial crisis : how "quantitative easing" changed the relationship
Wong, Woon K.; Biefang-Frisancho Mariscal, Iris; Yao, Wanru - 2016
This paper investigates the relationship between credit and liquidity risk components in the UK interbank spread during … risk was a major factor in the widening of the spread and also caused a rise in liquidity risk. However, this relationship … central bank's liquidity provisions, we provide evidence that the QE operations were successful in reducing liquidity premia …
Persistent link: https://www.econbiz.de/10011688262
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Bankruptcy regime change and credit risk premium on corporate bonds : evidence from the indian economy
Sengupta, Rajeswari; Vardhan, Harsh - 2023
Persistent link: https://www.econbiz.de/10013531305
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Determinants of short-term corporate yield spreads : evidence from the commercial paper market
Huang, Jing-Zhi; Liu, Bibo; Shi, Zhan - In: Review of finance : journal of the European Finance … 27 (2023) 2, pp. 539-579
Persistent link: https://www.econbiz.de/10014317896
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Redenomination risk in eurozone corporate bond spreads
Bleaney, Michael F.; Veleanu, Veronica - In: The European journal of finance 27 (2021) 13, pp. 1303-1325
Persistent link: https://www.econbiz.de/10012653094