Peroni, Chiara (2007): A non-parametric investigation of risk premia.
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This paper investigates features of credit risk using non-parametric techniques, studying determinants of risk premia using a non-parametric term-structure model of the corporate spread. The model, which measures the extra return of defaultable corporate bonds on their government counterparts, involves the rate of inflation, a key macroeconomic variable that is found to explain the spread non-linearly. This approach demonstrates the usefulness of non-linear approaches in contrast with standard linear approaches. The model is also useful to forecast the future course of the spread.
|Item Type:||MPRA Paper|
|Institution:||university of east anglia|
|Original Title:||A non-parametric investigation of risk premia|
|Keywords:||Risk premium, affine models, non-parametric regression|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General
|Depositing User:||Chiara Peroni|
|Date Deposited:||07. Feb 2008 06:20|
|Last Modified:||18. Feb 2013 06:38|