A Preferred-Habitat Model with a Corporate Sector
The research introduces a model where the same investor prices government and corporate bonds, causing credit spread variations beyond credit quality changes, driven by credit quality variation, risk-neutral correlation of risk factors, and portfolio rebalancing.
Featured in No. 22 on 18 Oct 2023 · 2 days after release · 0 citations today
- Released
- 16 Oct 2023
- First featured
- No. 22 · 18 Oct 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 5
- Identifier
- SSRN 4603103
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).