Modelling and calibration of credit-risky bonds
Spencer, Hewick Geoffrey
Khew, Glender Cesar Tsien Loong
Wong, Beng Soon
Date of Issue2003
College of Business (Nanyang Business School)
This thesis examines the corporate bond market in Japan during 1996-2001. The objective is to collect data, test and analyze the predictive ability of the Jarrow, Lando and Turnbull proposed Markov model for the term structure of credit risky spreads with the Kijima - Komorobayashi adjustment, in the determination of default probability within the Japanese market. We also examine the robustness and sensitivity of the results with respect to changes in recovery rates and spot interest rates.
Nanyang Technological University