A Multifactor Model of Credit Spreads

Ramaprasad Bhar
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Ramaprasad Bhar: The University of New South Wales, Australia

Chapter 7 in Stochastic Filtering with Applications in Finance, 2010, pp 149-183 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Background and Related ResearchVariables Influencing Changes in Credit SpreadsCredit Spread and Default RiskCredit Spread and LiquidityAlternative Approach to Analyzing Credit SpreadData UsedMultifactor Model for Credit SpreadFitting the ModelResultsResults for Apr-96 to Mar-03Results for Apr-96 to Mar-08Model PerformanceDiscussionConcluding Remarks

Keywords: Kalman Filter; Stochastic Volatility; Unscented Kalman Filter; Extended Kalman Filter; Interest Rate Process; Stochastic Volatility; Inflation Uncertainty; Forward Exchange Rate; Equity Price of Risk; Credit Default Swaps (search for similar items in EconPapers)
Date: 2010
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