A Spread-Risk Model for Strategic Fixed-Income Investors

Fernando Monar Lora and Ken Nyholm

Chapter 3 in Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, 2010, pp 44-63 from Palgrave Macmillan

Abstract: Abstract Surprisingly little attention has been paid in the academic literature to the forecasting of credit spreads1. Although this is understandable, and in line with traditional academic progression where one aims to fully understand the in-sample behaviour of a phenomenon before starting to develop theories and models for how this phenomenon could behave out-of-sample, it leaves the financial practitioner in an unpleasant vacuum.

Keywords: Risk Model; Yield Curve; Forecast Horizon; Corporate Bond; Credit Spread (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1057/9780230251298_3

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