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SSRNCorporate Finance

A Preferred-Habitat Model with a Corporate Sector

The research introduces a model where the same investor prices government and corporate bonds, causing credit spread variations beyond credit quality changes, driven by credit quality variation, risk-neutral correlation of risk factors, and portfolio rebalancing.

Featured in No. 22 on 18 Oct 2023 · 2 days after release · 0 citations today

Released
16 Oct 2023
First featured
No. 22 · 18 Oct 2023
Citations (Semantic Scholar)
0
Influential citations
0
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
5
Identifier
SSRN 4603103

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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