The distribution of yen denominated credit spreads

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Show simple item record Ellis, Craig en_US Hogan, Warren en_US
dc.contributor.editor Batten, J; Fetherston, T A; Szilagyi, P G en_US 2010-06-16T04:55:07Z 2010-06-16T04:55:07Z 2006 en_US
dc.identifier 2006005817 en_US
dc.identifier.citation Ellis Craig and Hogan Warren 2006, 'The distribution of yen denominated credit spreads', in NA (ed.), Elsevier, Amsterdam, Netherlands, pp. 207-232. en_US
dc.identifier.issn 0444520201 en_US
dc.identifier.other B1 en_US
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.language en_US
dc.publisher Elsevier en_US
dc.relation.isbasedon NA en_US
dc.title The distribution of yen denominated credit spreads en_US
dc.parent Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives en_US
dc.journal.volume en_US
dc.journal.number en_US
dc.publocation Amsterdam, Netherlands en_US
dc.identifier.startpage 207 en_US
dc.identifier.endpage 232 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010200 en_US
dc.personcode 944972 en_US
dc.personcode 998277 en_US
dc.percentage 50 en_US Applied Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition 1 en_US
dc.custom en_US en_US
dc.location.activity en_US
dc.description.keywords NA en_US
dc.staffid 998277 en_US

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