Predicting Credit Spreads

@inproceedings{Krishnan2007PredictingCS,
  title={Predicting Credit Spreads},
  author={C. N. Krishnan and Peter H. Ritchken and James B. Thomson},
  year={2007}
}
Predictions of firm-level credit spreads based on the current spot and forward credit spreads can be significantly improved upon by using the information contained in the shape of the creditspread curve. However, the current credit-spread curve is not a sufficient statistic for predicting future out-of-sample credit spreads; the explanatory power can be further significantly increased by exploiting information contained in the shape of the riskless-yield curve. In the presence of credit-spread… CONTINUE READING

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