𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the calibration of structural credit spread models

✍ Scribed by Howard Qi; Sheen Liu; Chunchi Wu

Publisher
Springer
Year
2008
Tongue
English
Weight
393 KB
Volume
5
Category
Article
ISSN
1614-2446

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The term structure of credit spreads in
The term structure of credit spreads in project finance
✍ Marco Sorge; Blaise Gadanecz πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 190 KB

## Abstract This paper finds that the term structure of credit spreads in project finance is hump‐shaped. This contrasts with other types of debt, where credit risk is shown instead to increase monotonically with maturity __ceteris paribus__. We emphasize a number of peculiar features of project fi

Statistical Inference on the Default Pro
Statistical Inference on the Default Probability in the Credit Risk Models
✍ Yong ZHOU; Shangyu XIE; Yuan YUAN πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier βš– 241 KB

Reduced form model is one of the most popular models for studying credit risks. The key parameter in these models is the default probability. Under the assumption that default is exogenous, it is quite easy to compute the default probability through a statistical model. In this article, we argue tha

Credit spread volatility, bond ratings a
Credit spread volatility, bond ratings and the risk reduction effect of watchlistings
✍ Volker G. Heinke πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 125 KB

## Abstract This article examines the relationship between the volatility of the credit risk premium of a plain vanilla bond and its credit rating. We calculate volatilities over different time windows and test for differences in the mean volatility depending on the bond rating. We check for the in