신용스프레드 변화의 결정요인에 관한 연구

목차 (Table of Contents)

• 요약
• Ⅰ. 도입
• Ⅱ. 신용스프레드에 대한 기존 연구
• Ⅲ. 실증분석을 위한 변수와 모형의 설정
• Ⅳ. 실증분석 결과
• Ⅴ. 결론 및 시사점
• 참고문헌
• Abstract

참고문헌 (Reference)

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3 "Time Variation in the Credit Spreads on Australian Eurobonds" 11 : 81-99, 2003

4 "The Structure of Credit Risk:Spread Volatility and Ratings Transitions" 6 : 1-27, 2003

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6 "The Determinants of Credit Spread Changes" 56 : 2177-2207, 2001

7 Lee, Hyon-sok, "The Determinants of Credit Spread Changes" Sungshin Women's University

8 "The Cross-Section of Volatility and Expected Returns" 51 : 259-299, 2006

9 "The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors" 2001

10 "Returns to Buying Winners and Selling Losers:Implications for Stock Market Efficiency" 48 : 65-91, 1993

11 "Profitability of Momentum Strategies:An Evaluation of Alternative Explanations" 56 : 699-720, 2001

12 "Pricing Derivatives on Financial Securities Subject to Credit Risk" 50 : 53-85, 1995

13 "On the Pricing of Corporate Debt:The Risk Structure of Interest Rates" 29 : 449-470, 1974

14 "Modeling Credit Spreads:An Application to the Sterling Eurobond Market" 11 : 183-218, 2002

15 "Macroeconomic Announcement and Corporate Bond Credit Spread Risks Working Paper" Penn State University. 2003

16 "Explaining the Rate Spread on Corporate Bonds" 56 : 247-277, 2001

17 "Explaining Credit spread Changes:New Evidence from Option-Adjusted Bond Indexes" 11 : 30-44, 2003

18 "Equity Volatility and Corporate Bond Yields" 58 : 2321-2349, 2003

19 "Do Credit Spreads Reflect Stationary Leverage Ratios?" 56 : 1929-1957, 2001

20 "Default Risk in Equity Returns" 59 : 831-868, 2004

21 "Credit Spreads and the Term Structure of Interest Rates" 11 : 279-295, 2002

22 "Common risk factors in the returns on stocks and bonds" 33 : 3-56, 1993

23 "Common factors affecting bond returns" 2 : 54-61, 1991

24 "A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads" 35 : 43-65, 2000

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26 "A Markov Model for the Term Structure of Credit Risk Spreads" 10 : 481-523, 1997