Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management

DOI10.1007/S10479-014-1727-YzbMATH Open1406.91476OpenAlexW2007913706MaRDI QIDQ893042FDOQ893042

Authors: N. E. Zubov 

Publication date: 13 November 2015

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-014-1727-y

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zbMATH Keywords

credit spreadcorporate bondidiosyncratic risk factorintelligent knowledge managementsystematic risk factorunbalanced panel data model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Credit risk optimization using factor models
• Using equity options to imply credit information
• CDS volatility: the key signal of credit quality
• Application of the Fama-French multi-factor model in Chinese bond markets during the recent financial crisis

Cited In (3)

• Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk
• Research on corporate bond yield based on forward risk-free interest rate
• A no-arbitrage analysis of macroeconomic determinants of the credit spread term structure

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