The prediction of the credit spread on China's corporate bond market by Culp, Yoshio& Veronesi's model (2014)
| Autor: | Hou-Kit Chan, 陳豪傑 |
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| Rok vydání: | 2016 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 104 Credit risk of China’s corporate bond market is looming in the minds of investors. The lack of credit derivatives cause investors difficult to hedge credit risk and evaluate the credit risk through direct observation from credit derivatives market. The paper discusses that if there is any credit risk information could be capture from the information of an offshore China large exchange traded fund and its options markets. The paper extend the Culp, Yoshio& Veronesi’s model(2014) to simulate the credit spread by using the data of iShares China Large-Cap ETF and its options. The paper show that the model credit spread and the credit spread of AA-rate China corporate bond are moderately correlated. Investors could capture credit risk information through direct observation from the information of iShares China Large-Cap ETF and its options |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
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