The current status of China’s capital market development and the lack of default sample in its corporate bond market make it difficult to use specific information about firms and industries to analyze and predict credit spreads. Instead, macroeconomic factors play a much more important role in determining credit spreads of corporate bonds. Therefore, in this paper, we attempt to utilize a macroeconomic credit risk model, which is extensively used in financial stability stress testings around the world, to incorporate macroeconomic factors into credit spread prediction. The results are satisfactory in terms of explanatory power of models, consistency with expected signs of coefficients, and closeness of the predicted credit spread changes to the real ones.
CBIC_2014_NUS-RMI Symposium on Credit Risk
作者： 時間：2014-06-03 瀏覽次數：
