Estimating the term structures of corporate debt

DOI10.1007/BF01531335MaRDI QIDQ375368zbMATH OpenFDO

Authors Tal Schwartz

Publication date 30 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

credit ratingssticky ratingtreasury strips

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Arbitrage bounds for the term structure of interest rates
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• Estimating the term structure with a semiparametric Bayesian hierarchical model: an application to corporate bonds
• A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE
• Risk factor analysis and portfolio immunization in the corporate bond market

Cites work

• Asymptotic results for estimation and testing variances in regression models
• Testing hypotheses in nonlinear regressions

Cited in

(5)

• A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE
• Estimating the term structure with a semiparametric Bayesian hierarchical model: an application to corporate bonds
• A Bayesian approach to term structure modeling using heavy-tailed distributions
• Risk factor analysis and portfolio immunization in the corporate bond market
• Term structure of interest rates and implied market frictions: the min-Max approach

Describes a project that uses

Uses Software

• IMSL Numerical Libraries

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