Modeling Credit Spreads Using Nonlinear Regression
Statistical Finance
2014-01-28 v1
Abstract
The term structure of credit spreads is studied with an aim to predict its future movements. A completely new approach to tackle this problem is presented, which utilizes nonlinear parametric models. The Brain-Cousens regression model with five parameters is chosen to describe the term structure of credit spreads. Further, we investigate the dependence of the parameter changes over time and the determinants of credit spreads.
Cite
@article{arxiv.1401.6955,
title = {Modeling Credit Spreads Using Nonlinear Regression},
author = {Radoslava Mirkov and Thomas Maul and Ronald Hochreiter and Holger Thomae},
journal= {arXiv preprint arXiv:1401.6955},
year = {2014}
}
Comments
Poster presentation at IWSM 2013