Dynamic interactions between interest-rate and credit risk: Theory and evidence on the credit default swap term structure

Ren Raw Chen, Xiaolin Cheng, Liuren Wu*

*此作品的通信作者

研究成果: 期刊稿件文章同行評審

33 引文 斯高帕斯(Scopus)

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
頁(從 - 到)403-441
頁數39
期刊Review of Finance
17
發行號1
DOIs
出版狀態已出版 - 01 2013
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