...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>The Spanish Review of Financial Economics >Modeling credit spreads under multifactor stochastic volatility
【24h】

Modeling credit spreads under multifactor stochastic volatility

机译：多因素随机波动下的信用利差建模

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

The empirical tests of traditional structural models of credit risk tend to indicate that such models have been unsuccessful in the modeling of credit spreads. To address these negative findings some authors introduce single-factor stochastic volatility specifications and/or jumps. In the yield curve literature it is widely accepted that one-factor is not sufficient to capture the time variation and cross-sectional variation in the term structure. This article introduces a two-factor stochastic volatility specification within the structural model of credit risk. One of the factors determines the correlation between short-term firms' assets returns and variance, whereas the other factor determines the correlation between long-term returns and variance. The numerical tests reveal how the introduction of two volatility factors can generate a wide range of combinations associated with short-term and long-term patters corresponding to credit spreads. In this sense, multi-factor stochastic volatility specifications provide more flexibility than single-factor models to capture a wide range of shapes associated with the term structure of credit spreads consistent with the empirical evidence.
机译：传统信用风险结构模型的实证检验往往表明，这种模型在信用利差建模中是不成功的。为了解决这些负面发现，一些作者介绍了单因素随机波动率指标和/或跳跃。在收益曲线文献中，一个因素不足以捕获期限结构中的时间变化和横截面变化，这一点已被广泛接受。本文介绍了信用风险结构模型中的两因素随机波动率指标。一个因素决定了短期公司资产收益与方差之间的相关性，而另一个因素决定了长期收益与方差之间的相关性。数值测试揭示了引入两个波动率因素如何能够产生与信用息差对应的短期和长期模式相关的广泛组合。从这个意义上讲，与单因素模型相比，多因素随机波动率指标提供了更大的灵活性，以捕获与经验证据一致的，与信用息差的期限结构相关的各种形状。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号