This paper presents a methodology for estimating a family of credit spread term structures in a market with few transactions. The authors propose partitioning the market into risk classes and modeling credit spread term ...

O objetivo desse trabalho é analisar os determinantes do spread de crédito das debêntures de infraestrutura no mercado secundário. Para isso, calculamos o spread de crédito dos negócios de debêntures realizados diariamente ...

La presente investigación pretende determinar el efecto del riesgo de crédito sobre el spread bancario peruano durante los ciclos económicos, debido a que desde los últimos años el spread sigue una tendencia ascendente; ...

The recent financial crisis from 2008-09 brought with it a lot of consequences. One of these correspond to the notorious growth in the spread of corporate bonds. According to the literature, the principal factors that ...

This research analyzes the determinants of the Ecuadorian union credit sector spread. The theoretical base corresponds to the model set out by Ho and Saunders (1981). Micro and Macroeconomic variables were constructed to ...

We find that illiquidity remains a major factor in explaining corporate spreads. Illiquidity is second only to the credit risk itself. This effect is surprising given that the corporate debt trading activity has more than ...

O objetivo deste trabalho é estimar os efeitos da crise financeira recente sobre os spreads dos títulos soberanos dos países emergentes. Os resultados corroboram a visão de que a atual crise financeira teve um impacto ...

In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an ...