Term Structure of Credit Spreads of a Firm When Its Underlying Assets are Discontinuos

Credit Risk Modeling and the Term Structure of Credit Spreads

In this paper, by applying the potential approach to characterizing default risk, a class of simple affine and quadratic models is presented to provide a unifying framework of valuing both risk-free and defaultable bonds. It has been shown that the established models can accommodate the existing intensity based credit risk models, while incorporating a security-specific credit information facto...

the underlying structure of language proficiency and the proficiency level

هدف از انجام این تخقیق بررسی رابطه احتمالی بین سطح مهارت زبان خارجی (foreign language proficiency) و ساختار مهارت زبان خارجی بود. تعداد 314 زبان آموز مونث و مذکر که عمدتا دانشجویان رشته های زبان انگلیسی در سطوح کارشناسی و کارشناسی ارشد بودند در این تحقیق شرکت کردند. از لحاظ سطح مهارت زبان خارجی شرکت کنندگان بسیار با هم متفاوت بودند، (75 نفر سطح پیشرفته، 113 نفر سطح متوسط، 126 سطح مقدماتی). کلا ...

Macroeconomic Conditions , Firm Characteristics , and Credit Spreads ∗

We study a structural model that allows us to examine how credit spreads are affected by the interaction of macroeconomic conditions and firm characteristics. Unlike most other structural models, our model explicitly incorporates equilibrium macroeconomic dynamics and models a firm’s cash flow as primitive processes. Corporate securities are priced as contingent claims written on cash flows. De...

Accounting transparency and the term structure of credit spreads

Theory predicts that the quality of a firm’s information disclosure can affect the term structure of its corporate bond yield spreads. Using cross-sectional regression and NelsonSiegel yield curve estimation, I find that firms with higher Association for Investment Management and Research disclosure rankings tend to have lower credit spreads. Moreover, this transparency spread is especially lar...

On Forecasting the Term Structure of Credit Spreads