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Document type:
Zeitschriftenaufsatz
Author(s):
Antes, S.; Ilg, M.; Schmid, B.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
-
Title:
Empirical Evaluation of Hybrid Defaultable Bond Pricing Models
Abstract:
We present a four-factor model (the extended model of Schmid and Zagst) for pricing credit risk related instruments such as defaultable bonds or credit derivatives. It is a consequent advancement of our prior threefactor model (see Schmid & Zagst (2000)). In addition to a firm-specific credit risk factor we include a new systematic risk factor in form of the GDP growth rates. We set this new model in the context of other hybrid defaultable bond pricing models and empirically compare it to specific representatives. In analogy to Krishnan, Ritchken & Thomson (2005) we find that a model only based on firmspecific variables is unable to capture changes in credit spreads completely. However, consistent to Krishnan et al. (2005) we show that in our model market variables such as GDP growth rates, non-defaultable interest rates and firm-specific variables together significantly influence credit spread levels and changes.
Intellectual Contribution:
Discipline-based Research
Journal title:
Applied Mathematical Finance
Year:
2008
Journal volume:
15
Journal issue:
3
Pages contribution:
219-249
Language:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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