A non-parametric investigation of risk premia

Chiara Peroni (chiara.peroni@statec.etat.lu)

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates features of credit risk using non-parametric techniques, studying determinants of risk premia using a non-parametric term-structure model of the corporate spread. The model, which measures the extra return of defaultable corporate bonds on their government counterparts, involves the rate of inflation, a key macroeconomic variable that is found to explain the spread non-linearly. This approach demonstrates the usefulness of non-linear approaches in contrast with standard linear approaches. The model is also useful to forecast the future course of the spread.

Keywords: Risk premium; affine models; non-parametric regression (search for similar items in EconPapers)
JEL-codes: C14 G12 (search for similar items in EconPapers)
Date: 2007-06-01, Revised 2007-12-01
New Economics Papers: this item is included in nep-ore and nep-rmg
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Related works:
Journal Article: A Non-Parametric Investigation of Risk Premia (2009)
Working Paper: A non-parametric investigation of risk premia (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:5126

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