%0 Journal Article %A Tomohiro Ando and Satoshi Yamashita %D 2009 %J International Journal of Economics and Management Engineering %B World Academy of Science, Engineering and Technology %I Open Science Index 29, 2009 %T Simultaneous Term Structure Estimation of Hazard and Loss Given Default with a Statistical Model using Credit Rating and Financial Information %U https://publications.waset.org/pdf/14815 %V 29 %X The objective of this study is to propose a statistical modeling method which enables simultaneous term structure estimation of the risk-free interest rate, hazard and loss given default, incorporating the characteristics of the bond issuing company such as credit rating and financial information. A reduced form model is used for this purpose. Statistical techniques such as spline estimation and Bayesian information criterion are employed for parameter estimation and model selection. An empirical analysis is conducted using the information on the Japanese bond market data. Results of the empirical analysis confirm the usefulness of the proposed method. %P 319 - 329