논문KCI 등재
신용스프레드의 결정요인에 관한 실증연구
An Empirical Study on the Determinants of Credit Spread
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주제분류경제학
참고문헌 (35)
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- "국채수익률과 신용스프레드 동태적 분석", pp.11~14 (2002)
- "경기순환과 금융변수의 움직임" (2003), LG경제연구원
- "금융리스크 : 측정과 관리" (2002), 세경사
- "카오스와 금융시장" (2002), 세경사
- "신용리스크 : 측정과 관리" (2003), 세경사
- "원달러 환율과 엔달러 환율의 분수공적분 관계에 관한 연구" (2005), 한국국제경제학회
- "The Credit spread puzzle" (2003)
- "Insider the Black Box: The Credit Channel of the Monetary Policy Transmission", 9, pp.27~48 (1995)
- "An Empirical Analysis of the Dynamic Relationship Between Investment-Grade Bonds and Credit Default Swaps" (2004), Bank of Spain
- "The Determinants of Credit Spread Changes" (2000)
- "Do Credit Spread Reflect Stationary Leverage Ratios?" (2001)
- "The Components of Corporate Credit Spreads" (1999), Anderson school at UCLA
- "What Credit Market Indicators Tell Us", pp.2~13 (1999), FRB of Dallas
- "Idiosyncratic Variation of Treasury Bill Yields", 51(1) (1996)
- "Treasury yields and corporate bond yield spreads : An empirical analysis", 53 (1998)
- "Modelling Term Structure of Defaultable Bonds" (1999), Stanford University
- "Factors Affecting the Valuation of Corporate Bonds" (2002), NYU
- "The Yield Curve as a Predictor of U.S Recessions", 2 (1996), FRB of NY
- "Journal of Money", pp.559~596 (1988)
- "The Information In The High Yield Bond Spread For The Business Cycle", (7549) (2000)
- "An Empirical Comparison of default swap pricing models" (2002), Erasmus univ.
- "The relationship between credit default swap spreads" (2003), Univ. of Toronto
- "Pricing Options on Financial Securities Subjective to Default Risk", pp.53~86 (1995)
- "A Markov Model for the Term Structure of Credit Risk Spreads", 10(2) (1997)
- "Modeling Default Risk" (1997), KMV
- "On Cox processes and credit risky securities", 2 (1998)
- "Credit spreads on sterling corporate bonds and the term structure of UK interest rates", (202) (2003), Bank of England
- "A nonlinear general equilibrium model of the term structure of interest rates", 23 (1989)
- "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt", pp.789~819 (1995)
- "Theory of rational option pricing Bell Journal of Economics and Management Science", 4 (1973)
- "On the Pricing of Corporate Debt The Risk Structure of Interest Rate" (1974)
- "Credit spreads and interest rates : A cointegration approach" (1998), FRB of Kansas
- "Credit Risk Measurement(2nd edition)" (1999), John Wiley & Sons, Inc
- "An Empirical comparison of credit spreads between the bond market and the credit default swap market", (160) (2004)
관련 논문AI추천
The Effect of Credit Risk on Stock Returns강충오, 강형구경제연구소 · Journal of Economic Research (JER)2009 · 제14권 제1호금리 스프레드의 경기예측력 평가박상규, 지호준한국재무관리학회 · 재무관리연구2002 · 제19권 제2호한국 회사채시장의 신용스프레드의 지속성류덕현, 이항용한국응용경제학회 · 응용경제2015 · 제17권 제4호목표부채비율 회귀 모형을 이용한 한국채권시장의신용가산금리에대한실증연구김재우, 김화성한국재무관리학회 · 재무관리연구2005 · 제22권 제1호회사채 신용등급변경의 장·단기성과김영식, 박천식한국산업경영학회 · 경영연구2002 · 제17권 제3호기업부채의 투자변동성 확대효과에 관한 실증적 연구유승선, 이성효한국산업경영학회 · 경영연구2002 · 제17권 제3호
