A Multifactor Model of Credit Spreads

We represent credit spreads across ratings as a function of common unobservable factors of the Vasicek form. Using a state-space approach we estimate the factors, their process parameters, and the exposure of each observed credit spread series to each factor. We find that most of the systematic vari...

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Bibliographic details
Volume: 18
Main Author: Bhar, Ramaprasad
Handzic, Nedim
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Boston Springer US 01.03.2011
Springer Nature B.V
published in: Asia-Pacific financial markets Vol. 18; no. 1; pp. 105 - 127
Data of publication: 20110300
ISSN: 1387-2834
EISSN: 1573-6946
Discipline: Economics
Series: Asia-Pacific Financial Markets
Online Access: Fulltext
Database: RePEc IDEAS
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