Commonality in Credit Spread Changes

Commonality in Credit Spread Changes
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ISBN-10 : OCLC:1140147582
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Book Synopsis Commonality in Credit Spread Changes by : Zhiguo He

Download or read book Commonality in Credit Spread Changes written by Zhiguo He and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two intermediary-based factors - a broad financial distress measure and a dealer corporate bond inventory measure - explain about 50% of the puzzling common variation of credit spread changes beyond canonical structural factors. A simple model, in which intermediaries facing margin constraints absorb supply of assets from customers, accounts for the documented explanatory power and delivers further implications with empirical support.


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