✦ LIBER ✦

The joint estimation of term structures and credit spreads

✍ Scribed by Patrick Houweling; Jaap Hoek; Frank Kleibergen

Book ID: 117628112
Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 377 KB
Volume: 8
Category: Article
ISSN: 0927-5398
DOI: 10.1016/s0927-5398(01)00026-3

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Term Structures of Credit Spreads with I

Term Structures of Credit Spreads with Incomplete Accounting Information

✍ Darrell Duffie; David Lando 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 457 KB

Estimating the Term Structure of Credit

Estimating the Term Structure of Credit Spreads on Euro-denominated Corporate Bonds

✍ Ombretta Terazzan 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 251 KB

Accounting transparency and the term str

Accounting transparency and the term structure of credit spreads

✍ Fan Yu 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 370 KB

Credit spreads and the term structure of

Credit spreads and the term structure of interest rates

✍ Charlotte Christiansen 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 139 KB

The term structure of credit spreads in

The term structure of credit spreads in project finance

✍ Marco Sorge; Blaise Gadanecz 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 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

The term structure of credit spreads wit

The term structure of credit spreads with jump risk

✍ Chunsheng Zhou 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 366 KB