Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/7316
Title: Modelling and calibration of credit-risky bonds
Authors: Spencer, Hewick Geoffrey
Khew, Glender Cesar Tsien Loong
Wong, Beng Soon
Keywords: DRNTU::Business::Finance::Fixed income::Bonds
Issue Date: 2003
Abstract: This thesis examines the corporate bond market in Japan during 1996-2001. The objective is to collect data, test and analyze the predictive ability of the Jarrow, Lando and Turnbull proposed Markov model for the term structure of credit risky spreads with the Kijima - Komorobayashi adjustment, in the determination of default probability within the Japanese market. We also examine the robustness and sensitivity of the results with respect to changes in recovery rates and spot interest rates.
URI: http://hdl.handle.net/10356/7316
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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