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The joint estimation of term structures and credit spreads

Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999

We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...

Persistent link: https://www.econbiz.de/10011301164

The determinants of CDS bid-ask spreads

Wojtowicz, Marcin - 2014

surprises, which suggests that private information does not hinder CDS liquidity. …

Persistent link: https://www.econbiz.de/10010415519

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...

Persistent link: https://www.econbiz.de/10011531096

Do information contagion and business model similarities explain bank credit risk commonalities?

Wang, Dieter; Lelyveld, Iman van; Schaumburg, Julia - 2018

This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The puzzle, first detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture...

Persistent link: https://www.econbiz.de/10011949150

How to measure corporate bond liquidity?

Houweling, Patrick; Mentink, Albertus André; Vorst, Ton - 2003

contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …

Persistent link: https://www.econbiz.de/10011333257

Estimating implied recovery rates from the term structure of CDS spreads

Jaskowski, Marcin; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724144

Aggregate stock market illiquidity and bond risk premia

Bouwman, Kees E.; Sojli, Elvira; Tham, Wing Wah - 2012

Persistent link: https://www.econbiz.de/10009724317

Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10010532587

Have Euro area government bond risk premia converged to their common state?

Pozzi, Lorenzo; Wolswijk, Guido Franciscus Theodorus - 2008

We derive a model in which a standard international capital asset pricing (ICAPM) model is nested within an ICAPM model with market imperfections. In the latter model an idiosyncratic stochastic factor affects the return of risky assets (over a risk-free rate) on top of the systematic component...

Persistent link: https://www.econbiz.de/10011374402

CDOs and the financial crisis : credit ratings and fair premia

Wojtowicz, Marcin - 2011

Persistent link: https://www.econbiz.de/10008907849