Treasury Yields and Credit Spread Dynamics: A Regime-Switching Approach

2014 ◽  
Author(s):  
Dimitris A. Georgoutsos ◽  
Thomas I. Kounitis
Keyword(s):  
Regime Switching ◽  
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

scholarly journals Dynamics of a stochastic HIV/AIDS model with treatment under regime switching

2021 ◽  
Vol 0 (0) ◽  
pp. 0
Author(s):  
Miaomiao Gao ◽  
Daqing Jiang ◽  
Tasawar Hayat ◽  
Ahmed Alsaedi ◽  
Bashir Ahmad
Keyword(s):  
Stationary Distribution ◽  
Regime Switching ◽  
Lyapunov Functions ◽  
Sufficient Conditions ◽  
Aids Model ◽  
Telegraph Noise ◽  
Spread Dynamics ◽  
Global Positive Solution ◽  
Theoretical Results ◽  
Hiv Aids

<p style='text-indent:20px;'>This paper focuses on the spread dynamics of an HIV/AIDS model with multiple stages of infection and treatment, which is disturbed by both white noise and telegraph noise. Switching between different environmental states is governed by Markov chain. Firstly, we prove the existence and uniqueness of the global positive solution. Then we investigate the existence of a unique ergodic stationary distribution by constructing suitable Lyapunov functions with regime switching. Furthermore, sufficient conditions for extinction of the disease are derived. The conditions presented for the existence of stationary distribution improve and generalize the previous results. Finally, numerical examples are given to illustrate our theoretical results.</p>

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

scholarly journals Investigating the Determinants of Credit Spread Using a Markov Regime-Switching Model: Evidence from Banks in Taiwan

2021 ◽  
Vol 13 (17) ◽  
pp. 9535
Author(s):  
Su-Lien Lu ◽  
Kuo-Jung Lee
Keyword(s):  
Corporate Governance ◽  
Credit Risk ◽  
Regime Switching ◽  
Credit Spread ◽  
Board Structure ◽  
Governance Mechanism ◽  
Markov Regime Switching ◽  
Regime Switching Model ◽  
Switching Model ◽  
Markov Regime Switching Model

In this study, we investigate the determinants of credit spread using a Markov regime-switching model. We consider corporate governance variables and credit risk to analyze the determinants of credit spread. The corporate governance mechanism is an indicator of company sustainability, and credit spread is the main factor in profits obtained by banks. However, the relationship between credit spread and corporate governance is seldom discussed. We focus on loans from banks in Taiwan between 2000 and 2019 and apply a Markov regime-switching model, which is superior to other models in capturing different effects in various regimes. We specify two regime types: corporate governance and credit risk regimes. Furthermore, we consider four aspects of corporate governance: firm ownership structure, board structure, deviation, and information environment. In this study, the determinants of credit spread are investigated more thoroughly than in previous studies. Moreover, in this study, we examine the effects of monetary policy and economic status on credit spread using a Markov regime-switching model; such models are not employed to their full extent in related studies of credit spread. Empirical results indicate that credit spread has different effects in various regimes. Thus, understanding the determinants of credit spread in different regimes is crucial for financial analysts, investors, economic policymakers, and banks. Consequently, we expect that this study can improve the management and measurement of credit risk and be of value to financial institutions.

Sign in / Sign up

Export Citation Format

Share Document