Dynamical analysis of corporate bonds based on the yield spread term-quality surface

Tomoaki Shouda ()

Asia-Pacific Financial Markets, 2005, vol. 12, issue 4, 307-332

Keywords: Default risk; Hazard rate; Yield spread term-quality surface; Credit quality; Spread risk; Markov state variable; No-arbitrage; C32; C33; C51; G33 (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10690-006-9028-3

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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