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| Tekijä: | Fruhwirth, M. Schneider, P. Sögner, L. |
| Otsikko: | The risk microstructure of corporate bonds: a case study from the German corporate bond market |
| Lehti: | European Financial Management
2010 : SEP, VOL. 16:4, p. 658-685 |
| Asiasana: | credit risk liquidity models stock markets Germany bond markets |
| Vapaa asiasana: | Duffie/Singleton framework Markov chain Monte Carlo estimation microstructure |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates joint econometric analysis of interest rate risk, issuer-specific risk (credit risk) and bond-specific risk (liquidity risk) in a reduced-form framework and based on that issuer-specific and bond-specific risk from corporate bond data in the German market. The author examines the following results: i) The bond-specific risk plays a crucial role in the pricing of corporate bonds.ii) Some impact of the stock market volatility, the respective stock's return and the distance to default.iii) Some impact of the stock market index, the stock market volatility, weekday effects and monthly effects as well as a very weak impact of the risk-free term structure and the specific stock's return. Altogether, the determinants of the spread components vary strongly between different bonds/issuers. |
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