Credit Spreads in Illiquid Markets: Model and Implementation

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dc.contributor.authorCortazar, Gonzalo
dc.contributor.authorSchwartz, Eduardo S.
dc.contributor.authorTapia, Claudio
dc.date.accessioned2024-01-10T12:04:46Z
dc.date.available2024-01-10T12:04:46Z
dc.date.issued2012
dc.description.abstractThis paper presents a methodology for estimating a family of credit spread term structures in a market with few transactions. The authors propose partitioning the market into risk classes and modeling credit spread term structures for each risk class using a multifactor Vasicek model with some common and some risk class-specific factors. The approach uses information on the cross section and time series of corporate bonds in all the risk classes to estimate the term structure of credit spreads in each risk class. The model is jointly estimated using an extended Kalman filter and implemented using Chilean corporate and government bonds.
dc.fechaingreso.objetodigital2024-05-23
dc.format.extent20 páginas
dc.fuente.origenWOS
dc.identifier.doi10.2753/REE1540-496X480603
dc.identifier.eissn1558-0938
dc.identifier.issn1540-496X
dc.identifier.urihttps://doi.org/10.2753/REE1540-496X480603
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/75876
dc.identifier.wosidWOS:000314508900004
dc.information.autorucIngeniería;Cortazar G ;S/I;99516
dc.issue.numero6
dc.language.isoen
dc.nota.accesocontenido parcial
dc.pagina.final72
dc.pagina.inicio53
dc.publisherROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
dc.revistaEMERGING MARKETS FINANCE AND TRADE
dc.rightsacceso restringido
dc.subjectbond spreads
dc.subjectemerging markets
dc.subjectKalman filter
dc.subjectTERM-STRUCTURE
dc.subjectFUTURES PRICES
dc.subjectAFFINE MODELS
dc.subjectRISK
dc.subjectDEFAULT
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleCredit Spreads in Illiquid Markets: Model and Implementation
dc.typeartículo
dc.volumen48
sipa.codpersvinculados99516
sipa.indexWOS
sipa.indexScopus
sipa.trazabilidadCarga SIPA;09-01-2024
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