Dynamical analysis of corporate bonds based on the yield spread term-quality surface (Q2372255)
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scientific article; zbMATH DE number 5174476
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| English | Dynamical analysis of corporate bonds based on the yield spread term-quality surface |
scientific article; zbMATH DE number 5174476 |
Statements
Dynamical analysis of corporate bonds based on the yield spread term-quality surface (English)
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25 July 2007
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default risk
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hazard rate
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yield spread term-quality surface
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credit quality
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spread risk
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Markov state variable
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no arbitrage
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0.8583243
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0.8459941
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0.8454089
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0.84390783
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0.8412326
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0.8285704
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