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題名:
Diversification with Idiosyncratic Credit Spreads: A Pooled Estimation on Heterogeneous Panels
書刊名:
臺灣金融財務季刊
作者:
林蒼祥
/
孫效孔
作者(外文):
Lin, William T.
/
Sun, David S.
出版日期:
2007
卷期:
8:2
頁次:
頁1-28
主題關鍵詞:
Bond pricing
;
Credit spread
;
Diversifiable risk
;
Cointegration
;
Heterogeneous panels
;
Pooled mean group estimation
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:40
Following the method of Pesaran, Shin and Smith (1999), this study extends the results of Sun, Lin and Nieh (2007) to investigate risk diversification issue of individual corporate bonds in portfolios. Specifically our focus is on the decomposition of individual corporate yield spreads. It is also unique in the adoption of the robust econometric method of ARDL-based Pooled Mean Group estimation of panels of corporate bond data which yields results with solid statistical properties and rich economic implications for fixed income portfolio management. Overall the evidences provided by our study indicate that risk decomposition into systematic and specific components is crucial in a theoretical sense and useful practically as well. With the limited liquidity of corporate bond trading, our method proves to be an efficient one in extracting vital implications. More efficient and precise estimates would still require larger amount of data with better quality given the size and depth of the local fixed income market.
以文找文
期刊論文
1.
Pesaran, M. Hashem、Shin, Y.、Smith, R. P.(1999)。Pooled mean group estimation of dynamic heterogeneous panels。Journal of the American Statistical Association,94(446),621-634。
2.
Duffee, Gregory R.(1998)。The Relation between Treasury Yields and Corporate Bond Yield Spreads。Journal of Finance,53(6),2225-2241。
3.
Johansen, Soren(1994)。The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables。Econometric Reviews,13(2),205-229。
4.
Longstaff, Francis A.、Schwartz, Eduardo S.(1995)。A Simple Approach to Valuing Risky Fixed and Floating Rate Debt。Journal of Finance,50(3),789-819。
5.
Longstaff, Francis A.、Schwartz, Eduardo S.(1992)。Interest-Rate Volatility and the Term Structure: A Two-factor General Equilibrium Model。The Journal of Finance,47(4),1259-1282。
6.
Collin-Dufresne, P.、Goldstein, R. S.、Martin, J. S.(2001)。The Determinants of Credit Spread Changes。Journal of Finance,56(6),2177-2207。
7.
Duffie, Darrell、Singleton, Kenneth J.(1997)。An econometric model of the term structure of interest rate swap yields。Journal of Finance,52(4),1287-1321。
8.
Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance,50(1),53-85。
9.
Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。
10.
Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。
11.
Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。
12.
Leland, Hayne E.、Toft, Klaus Bjerre(1996)。Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads。Journal of Finance,51(3),987-1019。
13.
Merton, Robert C.(1974)。On the pricing of corporate debt: The risk structure of interest rate。Journal of Finance,29(2),449-470。
其他
1.
Duffee, G.R.(1999)。Estimating the price of default risk。
2.
Duffee, G.R.(2002)。Term premia and interest rate forecasts in affine models。
3.
Duffie, D.(1999)。Modeling Term Structure of Defaultable Bonds。
4.
Elton, E.J.(2001)。Explaining the rate spread on corporate bonds。
5.
Gatfaoui, H.(2003)。Risk disaggregation and credit risk valuation in a Merton framework。
6.
Jarrow, R.A.(2003)。Default risk and diversification: theory and applications。
7.
Joutz, F.L.(2001)。The dynamics of corporate credit spreads。
8.
Liu, J.(2006)。The market price of risk in interest rate swaps: the roles of default and liquidity risks.。
9.
Neal, R.(2000)。Interest rates and credit spread dynamics。
10.
Pedrosa, M.(1998)。Systematic risk in corporate bond credit spreads。
11.
Pesaran, M. H.(1999)。An Autoregressive Distributed Lag Modeling Approach to Cointegration Analysis.。
12.
Pesaran, M. H.(2001)。Bounds Testing Approaches to the Analysis of Long-Run Relationship。
13.
Sun, D, W. Lin(2007)。Long Run Credit Risk Diversification: Empirical Decomposition of Corporate Credit Spreads,Forthcoming, Review of Securities and Futures Markets.。
14.
Wilson, Thomas C.(1998)。Portfolio credit risk。
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