No-arbitrage term structure models of credit risk and the business cycle:
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2015
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 216 S. graph. Darst. |
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Record in the Search Index
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| adam_text | Titel: No-arbitrage term structure models of credit risk and the business cycle
Autor: Speck, Christian
Jahr: 2015
Contents
List of Figures xi
List of Tables xiii
1 Introduction 1
1.1 Objectives and Purpose .......................... 1
1.2 No-Arbitrage Term Structure Models of Credit Risk........... 4
1.3 Contribution and Organization ...................... 19
2 Corporate Bond Risk Premia 23
2.1 Introduction................................. 23
2.2 Related Literature ............................. 27
2.3 Notation and Data............................. 31
2.3.1 Notation............................... 31
2.3.2 Data................................. 33
2.4 Determinants of Bond Risk Premia.................... 45
2.4.1 Methodology ............................ 45
2.4.2 Unrestricted Forward Models ................... 47
2.4.3 Restricted Forward Factor Models................. 55
2.5 Hidden Factors and Macro Variables................... 62
2.5.1 Hidden Financial Factors ..................... 63
2.5.2 Risk Premia and the Business Cycle ............... 69
2.6 Robustness Tests.............................. 71
2.6.1 Bank of America Index Dataset.................. 71
2.6.2 Sequential Estimation and Out-of-Sample Forecasts....... 75
2.7 Implications for Affine No-Arbitrage Models............... 81
2.8 Conclusion.................................. 89
A Appendix to Chapter 2........................... 91
vm
3 Credit Risk and the Macro Economy in an Affine Term Structure
Model 95
3.1 Introduction................................. 95
3.2 Related Literature ............................. 98
3.3 Affine Term Structure Models....................... 102
3.4 Data..................................... 104
3.5 Estimation.................................. 105
3.5.1 Estimation Methodology...................... 105
3.5.2 Estimation Results and Factor Identification........... 110
3.5.3 Model Fit.............................. 115
3.6 Model Dynamics.............................. 119
3.6.1 Factor Dynamics.......................... 119
3.6.2 Yield and Spread Dynamics.................... 122
3.7 Forecasting the Financial Crisis...................... 129
3.8 Conclusion.................................. 134
B Appendix to Chapter 3........................... 136
B.l Additional Results to Chapter 3.................. 136
B.2 Impulse Responses and Forecast Error Variance Decompositions 138
4 The Financial Accelerator and the Term Structure of Corporate
Bonds 145
4.1 Introduction................................. 145
4.2 Capital Structure and the Financial Accelerator............. 149
4.3 The DSGE Model.............................. 157
4.3.1 Households Choice......................... 158
4.3.2 Wholesale Firm Decisions..................... 161
4.3.3 Retail Price Setting......................... 168
4.3.4 The Füll Macro Model....................... 172
4.4 Asset Pricing Implications......................... 173
4.4.1 Leverage, Default Probability, and Recovery Rates........ 174
4.4.2 Bond Pricing............................ 176
4.4.3 The External Finance Premium.................. 180
4.5 Model Simulations............................. 182
4.5.1 Model Parameterization...................... 182
4.5.2 Model Dynamics.......................... 187
4.6 Conclusion.................................. 196
C Appendix to Chapter 4........................... 197
C.l Irrelevance of Aggregate Shocks in a Cash-In-Advance Model . . 197
C.2 Systematic Risk Adjustment.................... 198
C.3 Optimal Capital Structure..................... 201
C.4 Accelerator.............................. 202
C.5 Philipps Curve............................ 205
C.6 The Structural Representation................... 207
C.7 Credit Spread Approximation.................... 208
Bibliography 209
Curriculum Vitae 217
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| physical | XIII, 216 S. graph. Darst. |
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| spelling | Speck, Christian 1982- Verfasser (DE-588)1071671375 aut No-arbitrage term structure models of credit risk and the business cycle vorgelegt von Christian Speck 2015 XIII, 216 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mannheim, Univ., Diss., 2015 Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Erwartungsbildung (DE-588)4193073-3 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Zinsstrukturtheorie (DE-588)4117720-4 s Erwartungsbildung (DE-588)4193073-3 s Anlagepolitik (DE-588)4206018-7 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028051677&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Speck, Christian 1982- No-arbitrage term structure models of credit risk and the business cycle Anlagepolitik (DE-588)4206018-7 gnd Erwartungsbildung (DE-588)4193073-3 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| subject_GND | (DE-588)4206018-7 (DE-588)4193073-3 (DE-588)4117720-4 (DE-588)4113937-9 |
| title | No-arbitrage term structure models of credit risk and the business cycle |
| title_auth | No-arbitrage term structure models of credit risk and the business cycle |
| title_exact_search | No-arbitrage term structure models of credit risk and the business cycle |
| title_full | No-arbitrage term structure models of credit risk and the business cycle vorgelegt von Christian Speck |
| title_fullStr | No-arbitrage term structure models of credit risk and the business cycle vorgelegt von Christian Speck |
| title_full_unstemmed | No-arbitrage term structure models of credit risk and the business cycle vorgelegt von Christian Speck |
| title_short | No-arbitrage term structure models of credit risk and the business cycle |
| title_sort | no arbitrage term structure models of credit risk and the business cycle |
| topic | Anlagepolitik (DE-588)4206018-7 gnd Erwartungsbildung (DE-588)4193073-3 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| topic_facet | Anlagepolitik Erwartungsbildung Zinsstrukturtheorie Hochschulschrift |
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