Default, Liquidity and Crises: An Econometric Framework
Détails
ID Serval
serval:BIB_09EE2D614455
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Default, Liquidity and Crises: An Econometric Framework
Périodique
Journal of Financial Econometrics
ISSN
1479-8417 (Online)
1479-8409 (Print)
1479-8409 (Print)
Statut éditorial
Publié
Date de publication
2013
Peer-reviewed
Oui
Volume
11
Numéro
2
Pages
221-262
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.
Mots-clé
Credit risk, Liquidity risk, Term structure, Affine model, Regime switching, Car process
Web of science
Création de la notice
23/09/2015 15:46
Dernière modification de la notice
20/08/2019 12:32