Stabsseminar på fredag

Fredag 23. januar har Institutt for foretaksøkonomi stabsseminar. Seminaret er ved David Lando fra Copenhagen Business School, og temaet er Swap curve and corporate bond spread dynamics.

22.01.2004 - Stig Nøra

Tid: Fredag 23.januar klokken 12.15-13.45

Sted: Karl Borchs auditorium

Abstract

We formulate and estimate a model for the joint evolution of government
bonds, corporate bonds and swap spreads. The model is an intensity model
which jointly considers bond curves, as reported by Bloomberg, for AAA,
AA, A and BBB financial issuers, US swap and government curves. We find
that five factors give a nice description of the data: Two factors for
the government curve, two for the corporate spread and a liquidity proxy
are used as factors. The liquidity component helps us obtain a joint fit
of the different spread curves and it also helps us understanding the
correlation structure between riskless rates and swap rates.

Kontaktpersoner:
Kristian R. Miltersen (59979) eller Jarle Møen (59612)