The distribution of yen denominated credit spreads

Ellis, C; Hogan, W

The distribution of yen denominated credit spreads

Ellis, C Hogan, W

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Publisher:: Elsevier
Publication Type:: Chapter
Citation:: Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives, 2006, 1, pp. 207 - 232
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Ellis, C	en_US
dc.contributor.author	Hogan, W	en_US
dc.contributor.editor	Batten, J	en_US
dc.contributor.editor	Fetherston, TA	en_US
dc.contributor.editor	Szilagyi, PG	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives, 2006, 1, pp. 207 - 232	en_US
dc.identifier.isbn	0444520201	en_US
dc.identifier.uri	http://hdl.handle.net/10453/11620
dc.description.abstract	The credit spread represents the difference in the yields between different risk or ratings classes of securities with the same maturity. The objective of this study is to provide an understanding of the distributional qualities of credit spreads between different risk and maturity classes of Yen denominated Eurobonds. Yen denominated Eurobonds represent the largest market segment after U.S. dollar denominated issues. We being by first measuring the moments of the distributions of the credit spread series, and then examine different distributional models which may be consistent with the observed spread distributions, OUf results provide strong evidencein favour of the yen credit spread series conforming to a mixtureof two Normal distributions. The implications of these results for credit risk management are also discussed.	en_US
dc.publisher	Elsevier	en_US
dc.relation.ispartof	Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives	en_US
dc.title	The distribution of yen denominated credit spreads	en_US
dc.type	Chapter
utslib.location	Amsterdam, Netherlands	en_US
utslib.for	1503 Business and Management	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.citation.edition	1	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.edition	1	en_US
pubs.place-of-publication	Amsterdam, Netherlands	en_US

Abstract:

The credit spread represents the difference in the yields between different risk or ratings classes of securities with the same maturity. The objective of this study is to provide an understanding of the distributional qualities of credit spreads between different risk and maturity classes of Yen denominated Eurobonds. Yen denominated Eurobonds represent the largest market segment after U.S. dollar denominated issues. We being by first measuring the moments of the distributions of the credit spread series, and then examine different distributional models which may be consistent with the observed spread distributions, OUf results provide strong evidencein favour of the yen credit spread series conforming to a mixtureof two Normal distributions. The implications of these results for credit risk management are also discussed.

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http://hdl.handle.net/10453/11620