Empirical estimation of default-free and defaultable term structure of interest rates.
Published: 2004
Language: eng
Number of pages: 107
Description: This dissertation estimates default-free and defaultable term structure models derived under no arbitrage conditions. These models are applied to daily government and corporate bond prices. The main objective of the dissertation is to exam the improvement obtained by augmenting traditional latent models with macroeconomic variables. A simple multivariate Vasicek model is used as a benchmark model. The predictive performances of these models are compared. The no arbitrage assumption is imposed so that the responses of both default-free and defaultable yield curves to the macroeconomic shock can be examined.
Notes: Adviser: Angelo Melino.

Thesis (Ph.D.)--University of Toronto, 2004.

Electronic version licensed for access by U. of T. users.

Source: Dissertation Abstracts International, Volume: 65-05, Section: A, page: 1903.