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    题名: The Co-movements of Bonds Spreads by Credit Ratings and Durations
    作者: 黃心梅
    贡献者: 胡聯國
    林修葳
    黃心梅
    关键词: Bond
    Credit Spread
    Credit Rating
    Duration
    Co-movement
    日期: 2004
    上传时间: 2009-09-11 17:09:29 (UTC+8)
    摘要: 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.
    參考文獻: Bierens H., Huang JZ., Kong W. 2003. An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects. Working Paper Series.
    Collin-Dufresne P., Goldstein R.S, and Martin J.P. 2001. The Determinants of Credit Spread Changes. The Journal of Finance. 2177-2207.
    Driessen J. 2005. Is Default Event Risk Priced in Corporate Bonds?. The Review of Financial Studies 18: 165-195.
    Duffee G. 1998. The Relation Between Treasury Yields and Corporate Bond Yield Spread. Journal of Finance 53.
    Duffie D., Singleton KJ. 2003. Credit Risk: Pricing, Measurement, and Management. Princeton University Press
    Enders W. 1995. Applied Econometric Time Series. John Wiley & Sons, Inc.
    Hand JRM, Holthausen RW. 1992. The Effect of Bond Rating Agency Announcements on Bond and Stock Pricing. Journal of Finance 47: 733-752.
    Huang JZ., Huang M. 2003. How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?. Working paper.
    Joutz F., Mansi S.A., Maxwell W.F. 2001. The Dynamics of Corporate Credit Spreads. Working paper.
    Kang JK., Kim HS. 2004. Pricing Credit Spread Options under a Markov Chain Model with Stochastic Default Rate. The Journal of Futures Market 24: 631-648.
    Lin H.W., Li M.Y. 2004. Examining the Multiple Volatilities and Co-movements asWell as Beta Coefficients of International Stock Markets. The 11th Global Finance Conference
    Perraudin W, Taylor AP. 2004. On the Consistency of Ratings and Bond Market Yields. Journal of Banking & Finance 28: 2769-2788.
    Steiner M, Heinke VG. 2001. Event Study Concerning International Bond Price Effects of Credit Rating Actions. International Journal of Finance and Economics 6: 139:157.
    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.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351036
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0913510361
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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