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Bank of Canada RSS Feedsen2024-03-28T18:46:23+00:00Modelling the Evolution of Credit Spreads in the United States
https://www.bankofcanada.ca/2004/12/working-paper-2004-45/
The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries.2004-12-01T08:26:38+00:00enModelling the Evolution of Credit Spreads in the United States2004-12-01Financial marketsMarket structure and pricingWorking Paper 2004-45 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-45.pdfModelling the Evolution of Credit Spreads in the United StatesStuart TurnbullJun YangDecember 2004GG1G12G13