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Credit Spreads in Illiquid Markets: Model and Implementation

  • Published:2012-11 Issue:6 Volume:48 Page:53-72
  • ISSN:1540-496X
  • Container-title:Emerging Markets Finance and Trade
  • language:en
  • Short-container-title:Emerging Markets Finance and Trade

Author:

Cortazar Gonzalo1,Schwartz Eduardo S.2,Tapia Claudio3

Affiliation:

1. a Ingeniería Industrial y de Sistemas, Pontificia Universidad Católica de Chile and FinanceUC

2. b UCLA Anderson School, University of California at Los Angeles

3. c FINlabUC Laboratorio de Investigación Avanzada en Finanzas, Pontificia Universidad Católica de Chile

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Reference49 articles.

1. Common Factors and Local Factors: Implications for Term Structures and Exchange Rates;D. Ahn;Journal of Financial and Quantitative Analysis,2004

2. Kalman Filtering of Generalized Vasicek Term Structure Models;S. Babbs;Journal of Financial and Quantitative Analysis,1999

3. A Multifactor Model of Credit Spreads;R. Bhar;Asia-Pacific Financial Markets,2011

4. A Continuous Time Approach to the Pricing of Bonds;M. Brennan;Journal of Banking and Finance,1979

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