Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management

DOI10.1007/s10479-014-1727-yzbMath1406.91476OpenAlexW2007913706MaRDI QIDQ893042

N. E. Zubov

Publication date: 13 November 2015

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-014-1727-y

zbMATH Keywords

credit spreadcorporate bondidiosyncratic risk factorintelligent knowledge managementsystematic risk factorunbalanced panel data model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Related Items (1)

Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk

Cites Work

• Using equity options to imply credit information
• CDS volatility: the key signal of credit quality
• Credit risk optimization using factor models
• Unnamed Item

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