Estimating Corporate Yield Curves

Preprint OPEN
Antionio Diaz; Frank Skinner;
(2001)
  • Subject: Credit Risk, Yield Curves, Credit Derivatives
    • jel: jel:G12 | jel:G13 | jel:G24

This paper represents the first study of retail deposit spreads of UK financial institutions using stochastic interest rate modelling and the market comparable approach. By replicating quoted fixed deposit rates using the Black Derman and Toy (1990) stochastic interest ... View more
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