haku: @author Liu, J. / yhteensä: 13
viite: 7 / 13
| Tekijä: | Duffie, D. Liu, J. |
| Otsikko: | Floating-Fixed Credit Spreads |
| Lehti: | Financial Analysts' Journal
2001 : MAY-JUN, VOL. 57:3, p. 76-87 |
| Asiasana: | CREDIT VOLATILITY INTEREST RATES |
| Kieli: | eng |
| Tiivistelmä: | The authors examine the term structure of yield spreads between floating-rate and fixed-rate notes of the same credit quality and maturity, floating-fixed spreads are theoretically characterized in some practical cases and quantified in a simple model in terms of maturity, credit quality, yield volatility, yield-spread volatility, correlation between changes in yield spreads and default-free yields, and other determining variables. The authors show that if the issuer's default risk is risk- neutrally independent of interest rates, the sign of floating-fixed spreads is determined by the term structure of the risk-free forward rate. |
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