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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30065


    Title: The Co-movements of Bonds Spreads by Credit Ratings and Durations
    Authors: 黃心梅
    Contributors: 胡聯國
    林修葳
    黃心梅
    Keywords: Bond
    Credit Spread
    Credit Rating
    Duration
    Co-movement
    Date: 2004
    Issue Date: 2009-09-11 17:09:29 (UTC+8)
    Abstract: This study adopts Markov-switching ARCH model proposed by Hamilton and Susmel (1994) to explore the behavior of credit spreads for different bond ratings. Specifically, this paper examines the properties of credit spreads and the co-movements of spreads among different durations and credit ratings. The consideration of the population makes the outcome more precise. The contribution of this study is to add to the investors a knowledge as to the credit spread behavior and help them understand the lower rating or longer maturity bonds by the observation of the investment-graded bonds while there are more risks and uncertainties conceal in these high yield bonds or D-rated bonds. The conclusion of this paper may help investors understand credit risk management and thus build appropriate portfolios.
    Reference: Bierens H., Huang JZ., Kong W. 2003. An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects. Working Paper Series.
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    Perraudin W, Taylor AP. 2004. On the Consistency of Ratings and Bond Market Yields. Journal of Banking & Finance 28: 2769-2788.
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    Scholtens B. 1999. On the Comovement of Bond Yield Spreads and Country Risk Ratings. The journal of fixed income 8: 99-103.
    Thomas L.C., Allen D.E. Morkel-Kingsbury N. 2002. A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads. International review of financial analysis 11:311-329.
    Wei JZ. 2000. A Multi-Factor, Markov Chain Model for Credit Migrations and Credit Spreads. Working paper.
    West R., 1973. Bond Ratings, Bond Yield and Financial Regulation: Some Findings. Journal of Law and Economics 16: 159-168.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351036
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0913510361
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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