A Bayesian Framework for Explaining the Rate Spread on Corporate Bonds

Oussama Chakroun and Ramzi Ben-Abdallah

Chapter 7 in Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, 2011, pp 117-135 from Palgrave Macmillan

Abstract: Abstract The implementation of the Basel II accord in 2008 has increased the academic and professional interest to credit risk modeling. Therefore, many techniques are developed by the industry such as the KMV model, the CreditRisk+ designed by Credit Suisse (1997), and the CreditMetrics model developed in 1997 by J. P. Morgan. A key input of the latter model is the credit rating transition matrix provided by rating agencies such as Moody’s or Standard and Poor’s.

Keywords: Credit Risk; Dirichlet Distribution; Default Probability; Corporate Bond; Credit Quality (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-29522-3_7

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DOI: 10.1057/9780230295223_7

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