摘要
This paper examines the interaction between default risk and interest-rate risk in determining the term structure of credit default swap spreads at different industry sectors and credit-rating classes. The paper starts with a parsimonious three-factor interest-rate dynamic term structure and projects the credit spread at each industry sector and rating class to these interest-rate factors while also allowing the projection residual dynamics to depend on the level of the interest-rate factors. Estimation shows that credit risk exhibits intricate dynamic interactions with the interest-rate factors.
原文 | 英語 |
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頁(從 - 到) | 403-441 |
頁數 | 39 |
期刊 | Review of Finance |
卷 | 17 |
發行號 | 1 |
DOIs | |
出版狀態 | 已出版 - 01 2013 |
對外發佈 | 是 |