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Simultaneous Term Structure Estimation of Hazard and Loss Given Default with a Statistical Model using Credit Rating and Financial Information
Abstract: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.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1083667Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1375
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