An estimation model for the term structure of yield spread

摘要: An estimation model for term structure of yield spread has become an extremely important subject to evaluate securities with default risk. By Duffie and Singleton model, was explained by two factors, namely collection rate probability. the is given from historical earnings data, but probability known be a remaining problem.There are some approaches express One them describe it through hazard process, other represent risk neutral transition matrix credit-rating class. Some models that use Gaussian type process or Vasicek have already constructed.An advantage evaluation using rating easy obtain image movement We do not need show calculation basis threshold assumption distribution prospective spread. But uses established yet, because computational difficulty required estimate large number parameters.At first, purposes this article, we will credit spreads results possibility future defaults. It assumed specified as discrete-state Markov chain. And construct which can used baseline class, risk-adjusting industrial drift corporate factors recovery ratio, individual bond. This enables us compute implied market data. capable computing date process. Next, provide valuation