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|Title: ||The Co-movements of Bonds Spreads by Credit Ratings and Durations|
|Issue Date: ||2009-09-11 17:09:29 (UTC+8)|
|Abstract: ||This study adopts Markov-switching ARCH model proposed by Hamilton and Susmel (1994) to explore the behavior of credit spreads for different bond ratings. Specifically, this paper examines the properties of credit spreads and the co-movements of spreads among different durations and credit ratings. The consideration of the population makes the outcome more precise. The contribution of this study is to add to the investors a knowledge as to the credit spread behavior and help them understand the lower rating or longer maturity bonds by the observation of the investment-graded bonds while there are more risks and uncertainties conceal in these high yield bonds or D-rated bonds. The conclusion of this paper may help investors understand credit risk management and thus build appropriate portfolios.|
|Reference: ||Bierens H., Huang JZ., Kong W. 2003. An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects. Working Paper Series.|
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|Source URI: ||http://thesis.lib.nccu.edu.tw/record/#G0913510361|
|Data Type: ||thesis|
|Appears in Collections:||[國際經營與貿易學系 ] 學位論文|
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