%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