Modeling Credit Spreads Using Nonlinear Regression
| Autor: | Mirkov, Radoslava, Maul, Thomas, Hochreiter, Ronald, Thomae, Holger |
|---|---|
| Rok vydání: | 2014 |
| Předmět: | |
| Zdroj: | Proceedings of IWSM 2013, Volume 2: 697-700. 2013 |
| Druh dokumentu: | Working Paper |
| Popis: | The term structure of credit spreads is studied with an aim to predict its future movements. A completely new approach to tackle this problem is presented, which utilizes nonlinear parametric models. The Brain-Cousens regression model with five parameters is chosen to describe the term structure of credit spreads. Further, we investigate the dependence of the parameter changes over time and the determinants of credit spreads. Comment: Poster presentation at IWSM 2013 |
| Databáze: | arXiv |
| Externí odkaz: |
|