The distribution of yen denominated credit spreads

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dc.contributor.author Ellis, C
dc.contributor.author Hogan, W
dc.contributor.editor Batten, J
dc.contributor.editor Fetherston, TA
dc.contributor.editor Szilagyi, PG
dc.date.accessioned 2010-06-16T04:55:07Z
dc.date.issued 2006-01
dc.identifier.citation Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives, 2006, 1, pp. 207 - 232
dc.identifier.isbn 0444520201
dc.identifier.other B1 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.
dc.publisher Elsevier
dc.title The distribution of yen denominated credit spreads
dc.type Chapter
dc.parent Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives
dc.journal.number en_US
dc.publocation Amsterdam, Netherlands en_US
dc.publocation Chicago, USA
dc.identifier.startpage 207 en_US
dc.identifier.endpage 232 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1503 Business and Management
dc.for 0102 Applied Mathematics
dc.personcode 998277
dc.personcode 944972
dc.percentage 50 en_US
dc.classification.name Applied Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition 1 en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)


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