Measuring credit risk of individual corporate bonds in US energy sector

DOI10.1007/s10690-016-9217-7zbMath1418.91576OpenAlexW2503727624MaRDI QIDQ1627685

Takeaki Kariya, Hideyuki Takada, Yoko Tanokura, Yoshiro Yamamura

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-016-9217-7

zbMATH Keywords

corporate bondcredit risk price spread (CRiPS)market credit rating (M-rating)standardized credit risk price spread (S-CRiPS)term structure of default probabilities (TSDP)

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Cites Work

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