RT Journal Article
SR Electronic
T1 Comparison of JGB and Bank Debenture Credit Spread Models
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 63
OP 70
DO 10.3905/jfi.1999.319231
VO 9
IS 1
A1 Koichi Miyazaki
A1 Hiroe Tsubaki
YR 1999
UL https://pm-research.com/content/9/1/63.abstract
AB With the rapidly growing corporate bond market in Japan, the demand is increasing for the management of both interest rate risk and credit risk, the pricing of corporate bonds, and the valuation of credit derivatives. We provide a methodology by which to choose appropriate models describing the interest rate process and the credit spread process simultaneously through an extension of the Chan, Karolyi, Longstaff, and Sanders approach.