Estimating the Term Structure of Credit Spreads on Euro-denominated Corporate Bonds |
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Authors: | Ombretta Terazzan |
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Affiliation: | University of Lugano - Institute of Finance, Via G. Buffi 13, CH-6900, Switzerland. E-mail: |
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Abstract: | In this paper, we estimate the term structure of credit spreads on Euro-denominated corporate bonds with a modified version of the Duffee (1999) intensity-based model. The empirical analysis considers monthly observations for a sample of investment-grade euro-denominated corporate bonds analysed for rating classes. The model is estimated with a maximum likelihood – Kalman filter approach over different sample periods ranging from January 1999 to August 2006. The estimation results, in general, support the application of the theoretical model to the euro-denominated bond market and exhibit some interesting characteristics of this relatively recent market. |
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Keywords: | C13 C32 E43 E44 G12 G13 G32 |
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