Estimating the term structure with a semi-parametric Bayesian population model: An application to corporate bonds
The term structure of interest rates is used to price defaultable bonds and credit derivatives, as well as to infer the quality of bonds for risk management purposes. We introduce a new framework for estimating the term structure of interest rates for corporate bonds. The proposed model jointly esti...
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| Format: | Others |
| Language: | English |
| Published: |
2011
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| Online Access: | http://hdl.handle.net/1911/62153 |