We construct a bottom-up simulation model that draws on a bank's stylized disaggregated
balance sheet to measure the impact of both LCR and NSFR. The constructed balance …

We use a simple partial adjustment econometric framework to investigate the effects of
financial crises on the dynamic properties of yield spreads. We find that crises manifest …

We investigate the pairwise correlations of eleven US fixed income yield spreads over a
sample that includes the Great Financial Crisis of 2007–09. Using cross-sectional methods …

This paper revisits the relation between callable credit spreads and interest rates. We allow
the evolution of credit spreads following shocks to government rates to depend on recent …

In this paper we investigate the short-term credit spread dynamics of quality US corporate
bonds, building on the Longstaff and Schwartz (1995) two-factor model. We find that …

This article tests empirically the performance of three structural models of corporate bond
pricing, namely Merton, Leland and Fan and Sundaresan. While the first two models …

What drives the compensation demanded by investors in risky bonds? Longstaff and
Schwartz (1995) predict that one key factor is the time-varying negative correlation between …

Yield spreads on Thai bonds are analysed to assist in bond investment decisions. Higher
spreads logically indicate higher risks. To study the determinants of yield spreads, the …

In this paper we investigate the relation between treasury yields and corporate bond yield
spreads. This is done by estimating VAR models on monthly Australian data from January …

26 INTEREST RATES AND CREDIT SPREAD DYNAMICS FALL 2015 levels or changes in
Treasury rates. Interest rates and credit spreads, however, have a high degree of …