A statistical modeling methodology for the analysis of term structure of credit risk and its dependency

作者：

Highlights：

• We model credit risk term structure and it dependency between industry.

• Our statistical modeling procedure is carried out without specifying the model likelihood explicitly.

• We investigate the effects of recent subprime financial crisis on Japanese bond market.

摘要

Highlights•We model credit risk term structure and it dependency between industry.•Our statistical modeling procedure is carried out without specifying the model likelihood explicitly.•We investigate the effects of recent subprime financial crisis on Japanese bond market.

论文关键词：Credit risk dependency,Corporate bond pricing,Default probability,Loss given default

论文评审过程：Available online 13 March 2013.

论文官网地址：https://doi.org/10.1016/j.eswa.2013.02.017