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신용스프레드의 결정요인에 관한 실증연구

An Empirical Study on the Determinants of Credit Spread

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주제분류경제학

참고문헌 (35)

  1. "한국채권시장과 신용위험", 7(1), pp.57~91 (2001), 한국은행 특별연구실
  2. "국채수익률과 신용스프레드 동태적 분석", pp.11~14 (2002)
  3. "경기순환과 금융변수의 움직임" (2003), LG경제연구원
  4. "금융리스크 : 측정과 관리" (2002), 세경사
  5. "카오스와 금융시장" (2002), 세경사
  6. "신용리스크 : 측정과 관리" (2003), 세경사
  7. "원달러 환율과 엔달러 환율의 분수공적분 관계에 관한 연구" (2005), 한국국제경제학회
  8. "The Credit spread puzzle" (2003)
  9. "Insider the Black Box: The Credit Channel of the Monetary Policy Transmission", 9, pp.27~48 (1995)
  10. "An Empirical Analysis of the Dynamic Relationship Between Investment-Grade Bonds and Credit Default Swaps" (2004), Bank of Spain
  11. "The Determinants of Credit Spread Changes" (2000)
  12. "Do Credit Spread Reflect Stationary Leverage Ratios?" (2001)
  13. "The Components of Corporate Credit Spreads" (1999), Anderson school at UCLA
  14. "What Credit Market Indicators Tell Us", pp.2~13 (1999), FRB of Dallas
  15. "Idiosyncratic Variation of Treasury Bill Yields", 51(1) (1996)
  16. "Treasury yields and corporate bond yield spreads : An empirical analysis", 53 (1998)
  17. "Modelling Term Structure of Defaultable Bonds" (1999), Stanford University
  18. "Factors Affecting the Valuation of Corporate Bonds" (2002), NYU
  19. "The Yield Curve as a Predictor of U.S Recessions", 2 (1996), FRB of NY
  20. "Journal of Money", pp.559~596 (1988)
  21. "The Information In The High Yield Bond Spread For The Business Cycle", (7549) (2000)
  22. "An Empirical Comparison of default swap pricing models" (2002), Erasmus univ.
  23. "The relationship between credit default swap spreads" (2003), Univ. of Toronto
  24. "Pricing Options on Financial Securities Subjective to Default Risk", pp.53~86 (1995)
  25. "A Markov Model for the Term Structure of Credit Risk Spreads", 10(2) (1997)
  26. "Modeling Default Risk" (1997), KMV
  27. "On Cox processes and credit risky securities", 2 (1998)
  28. "Credit spreads on sterling corporate bonds and the term structure of UK interest rates", (202) (2003), Bank of England
  29. "A nonlinear general equilibrium model of the term structure of interest rates", 23 (1989)
  30. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt", pp.789~819 (1995)
  31. "Theory of rational option pricing Bell Journal of Economics and Management Science", 4 (1973)
  32. "On the Pricing of Corporate Debt The Risk Structure of Interest Rate" (1974)
  33. "Credit spreads and interest rates : A cointegration approach" (1998), FRB of Kansas
  34. "Credit Risk Measurement(2nd edition)" (1999), John Wiley & Sons, Inc
  35. "An Empirical comparison of credit spreads between the bond market and the credit default swap market", (160) (2004)

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