Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates

Tomohiro Ando

研究成果: Article査読

4 被引用数 (Scopus)

抄録

This paper develops a Bayesian method by jointly formulating a corporate bond (CB) pricing model and credit default swap (CDS) premium pricing models to estimate the term structure of default probabilities and the recovery rate. These parameters are formulated by incorporating firm characteristics such as industry, credit rating and Balance Sheet/Profit and Loss information. A cross-sectional model valuing all given CB prices and CDS premiums is considered. The quantities derived are regarded as what market participants infer in forming CB prices and CDS premiums. We also develop a statistical significance test procedure without any distributional assumptions for the specified model. An empirical analysis is conducted using Japanese CB and CDS market data.

本文言語English
ページ(範囲)454-465
ページ数12
ジャーナルJournal of the Operational Research Society
65
3
DOI
出版ステータスPublished - 2014 3月

ASJC Scopus subject areas

  • 管理情報システム
  • 戦略と経営
  • 経営科学およびオペレーションズ リサーチ
  • マーケティング

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