Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Wu, Liuren 

Working Paper
A no-arbitrage analysis of economic determinants of the credit spread term structure

This paper presents an internally consistent analysis of the economic determinants of the term structure of credit spreads across different credit rating classes and industry sectors. Our analysis proceeds in two steps. First, we extract three economic factors from 13 time series that capture three major dimensions of the economy: inflation pressure, real output growth, and financial market volatility. In the second step, we build a no-arbitrage model that links the dynamics and market prices of these fundamental sources of economic risks to the term structure of Treasury yields and corporate ...
Finance and Economics Discussion Series , Paper 2005-59

FILTER BY Content Type

FILTER BY Author

FILTER BY Keywords

PREVIOUS / NEXT