Yield Spread Estimation with Credit Events

Authors

  • Yen Trinh Becamex Business School, Eastern International University, Binh Duong New City
  • Thanh Duong John von Neumann Institute, Vietnam National University, Ho Chi Minh City
  • Lap Nguyen John von Neumann Institute, Vietnam National University, Ho Chi Minh City

DOI:

https://doi.org/10.26713/jims.v8i4.553

Keywords:

Migration risk, Default risk, Spreads, Spread shock, Multiplicative shock, Additive shock, Credit rating migration

Abstract

We study a problem of modeling impacts of credit rating migration on spread curves. We consider the construction of credit curves adopting specific groups of representative issuers for credit rating by taking their average spread. Then, we introduce the method of grouping in full grade to handle the case for which a statistically representative set of issuers does not exist. Finally, empirical experiment shows the efficiency of our approach.

Downloads

Download data is not yet available.

References

S.Bharathulwar, B.Udatha, Available at SSRN 2136043 (2011).

M. Labre, B. Le Nzet (In International Conference on Qualitative and Quantitative Economics Research (QQE), Proceedings, Global Science and Technology Forum, 2015), p.72.

J. Tschirhart, J. O'Brien, M. Moise, and E. Yang (FEDS Working Paper, 2007).

Basel Committee on Banking Supervision (BCBS)(Bank for International Settlements Basel, Switzerland, 2009).

D. Hendricks, Economic Policy Review Federal Reserve Bank of New York. 2, 39-67 (1996).

D. Li, Risk-London-Risk Magazine Limited. 11, 40-44 (1998).

D. Li, Available at SSRN 187289 (1999).

O. Vasicek, Risk. 15, 160-162 (2002).

R. Elliott, M. Jeanblanc, and M. Yor, J. Mathematical Finance. 10, 179-195 (2000).

J.P. Morgan (JP Morgan, New York, 1997).

Downloads

Published

2016-12-30
CITATION

How to Cite

Trinh, Y., Duong, T., & Nguyen, L. (2016). Yield Spread Estimation with Credit Events. Journal of Informatics and Mathematical Sciences, 8(4), 235–244. https://doi.org/10.26713/jims.v8i4.553

Issue

Vol. 8 No. 4 (2016)

Section

Research Articles

License

Authors who publish with this journal agree to the following terms:
  • Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a CCAL that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
  • Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
  • Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.