In this paper, we suggest a deterministic approach for modelling credit risk time series even
in distressed periods (including COVID-19). We examine the Moody's Seasoned Aaa …

This study examines the impact of implied and contemporaneous equity market volatility on
Treasury yields, corporate bond yields, and yield spreads over Treasuries. The CBOE VIX is …

In this paper, an analytical pricing formula for spread options with credit default risk is
derived. Assets are set within discrete-time CAPM markets and Heston–Nandi GARCH …

This paper provides an insight to the time-varying dynamics of the shape of the distribution
of financial return series by proposing an exponential weighted moving average (EWMA) …

Traditional quantitative credit risk models assume that changes in credit spreads are
normally distributed but empirical evidence shows that they are likely to be skewed, fat …

This research is conducted from gaps of research findings regarding factors influencing
government bond yield. The aim of this research is to develop a model of government bond …

The relationship between company hazard rates and the business cycle becomes more
apparent after a financial crisis. To address this relationship, a regime-switching process …

Credit spreads are important financial tools, since they are used as indicators of economic
progression, investment decisions, trading and hedging, as well as pricing credit derivatives …

The ability to adequately select instruments used in financial analysis plays an important
role in the management process. The Longstaff-Schwartz model has been created taking …