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| Author: | Houweling, P. Hoek, J. Kleibergen, F. |
| Title: | The joint estimation of term structures and credit spreads |
| Journal: | Journal of Empirical Finance
2001 : JUL, VOL. 8:3, p. 297-323 |
| Index terms: | Bonds Credit management Econometric models |
| Freeterms: | Credit spreads |
| Language: | eng |
| Abstract: | The authors present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, they show that this yields more realistic spreads than traditionally obtained spread curves that result from subtracing independently estimated government and corporate term structures. |
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