Jun Yang - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T12:41:52+00:00Macroeconomic Determinants of the Term Structure of Corporate Spreads
https://www.bankofcanada.ca/2008/09/working-paper-2008-29/
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia.2008-09-04T11:14:55+00:00enMacroeconomic Determinants of the Term Structure of Corporate Spreads2008-09-04Debt managementFinancial marketsInterest ratesWorking Paper 2008-29 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-29.pdfMacroeconomic Determinants of the Term Structure of Corporate SpreadsJun YangSeptember 2008EE4E43E44GG1G12Default Dependence: The Equity Default Relationship
https://www.bankofcanada.ca/2008/01/working-paper-2008-1/
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier.2008-01-10T15:04:07+00:00enDefault Dependence: The Equity Default Relationship2008-01-10Econometric and statistical methodsFinancial marketsWorking Paper 2008-1 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-1.pdfDefault Dependence: The Equity Default RelationshipStuart TurnbullJun YangJanuary 2008GG1G12G13