A Spread-Return Mean-Reverting Model for Credit Spread Dynamics

2014 ◽  
Author(s):  
Brendan OODonoghue ◽  
Matthew Peacock ◽  
Shinghoi (Jacky) Lee ◽  
Luca Capriotti
Keyword(s):  
Credit Spread ◽  
Spread Dynamics

The credit spread dynamics of Latin American euro issues in international bond markets

2008 ◽  
Vol 18 (4) ◽  
pp. 328-345 ◽  
Author(s):  
Kannan S. Thuraisamy ◽  
Gerard L. Gannon ◽  
Jonathan A. Batten
Keyword(s):  
Latin American ◽  
Credit Spread ◽  
Bond Markets ◽  
Spread Dynamics

A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS

2014 ◽  
Vol 17 (03) ◽  
pp. 1450017 ◽  
Author(s):  
BRENDAN O'DONOGHUE ◽  
MATTHEW PEACOCK ◽  
JACKY LEE ◽  
LUCA CAPRIOTTI
Keyword(s):  
Stochastic Model ◽  
Stochastic Processes ◽  
Heavy Tails ◽  
Credit Default Swap ◽  
Credit Spread ◽  
Return Distribution ◽  
Credit Default ◽  
Spread Dynamics ◽  
Rate Processes ◽  
Default Swap

In this paper, we propose a novel, analytically tractable, one-factor stochastic model for the dynamics of credit default swap (CDS) spreads and their returns, which we refer to as the spread-return mean-reverting (SRMR) model. The SRMR model can be seen as a hybrid of the Black–Karasinski model on spreads and the Ornstein–Uhlenbeck model on spread returns, and is able to capture empirically observed properties of CDS spreads and returns, including spread mean-reversion, heavy tails of the return distribution, and return autocorrelations. Although developed for modeling CDS spreads, the SRMR model has applications for many other stochastic processes with similar empirical properties, including more general rate processes.

Interest Rates and Credit Spread Dynamics

2015 ◽  
Vol 23 (1) ◽  
pp. 25-39 ◽  
Author(s):  
Robert Neal ◽  
Douglas Rolph ◽  
Brice Dupoyet ◽  
Xiaoquan Jiang
Keyword(s):  
Interest Rates ◽  
Credit Spread ◽  
Spread Dynamics

Interest Rates and Credit Spread Dynamics

2000 ◽  
Author(s):  
Robert Neal ◽  
Douglas S. Rolph ◽  
Charles Morris
Keyword(s):  
Interest Rates ◽  
Credit Spread ◽  
Spread Dynamics
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