Titre
Default, Liquidity and Crises: An Econometric Framework
Type
article
Institution
Externe
Périodique
Auteur(s)
Monfort, A.
Auteure/Auteur
Renne, J.-P.
Auteure/Auteur
Liens vers les personnes
ISSN
1479-8417
Statut éditorial
Publié
Date de publication
2013
Volume
11
Numéro
2
Première page
221
Dernière page/numéro d’article
262
Peer-reviewed
Oui
Langue
anglais
Notes
Monfort_Renne_2013
Résumé
This article presents a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian processes, with drifts and covariance matrices that are subject to regime shifts described by a Markov chain with (historical) non-homogenous transition probabilities. Bond prices are given by quasi-explicit formulas. The tractability of the framework is illustrated by the estimation of a term-structure model of the spreads between U.S. BBB-rated corporate bonds and Treasuries. Alternative applications are proposed, including a sector-contagion model as well as the explicit modeling of credit-rating transitions.
PID Serval
serval:BIB_09EE2D614455
Date de création
2015-09-23T14:46:31.127Z
Date de création dans IRIS
2025-05-20T14:19:16Z