Risk structure of interest rates: an empirical analysis for Deutschemark‐denominated bonds

Düllmann, Klaus; Uhrig‐Homburg, Marliese; Windfuhr, Marc

doi:10.1111/1468-036x.00129

Cited by 27 publications

(11 citation statements)

References 17 publications

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“…For the importance of considering credit spreads over the entire term structure and alternative methods for the estimation of interest and default term structures, see, Dullmann et al . ().…”

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confidence: 97%

Common Factors in the Performance of European Corporate Bonds – Evidence before and after the Financial Crisis

Aussenegg

Goetz²,

Jelic

2013

Euro Fin Management

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We examine monthly excess returns for 23 Euro‐denominated corporate bond indices and propose a new specification for bond asset pricing models. Specifically, we separate level and slope components of term and default risk factors and examine liquidity risk. Our results suggest that level and slope risk factors, derived from complete interest rate and default spread term structures, significantly improve the explanatory power of the Fama and French (1993) 2‐factor model. We also demonstrate different sensitivities of risk factors before and after recent financial crisis. The results are robust to calendar seasonality and the consideration of equity market returns.

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confidence: 97%

Common Factors in the Performance of European Corporate Bonds – Evidence before and after the Financial Crisis

Aussenegg

Goetz²,

Jelic

2013

Euro Fin Management

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“…The Corporate Composite market index contains all European corporate bonds included in the 23 maturity and rating class sub-indices. 14 For the importance of considering credit spreads over the entire term structure and alternative methods for the estimation of interest and default term structures, see, Dullmann et al (2000). 15 Term risk premiums are, therefore, calculated based on excess returns.…”

Section: Methodsmentioning

confidence: 99%

Common Factors in the Performance of European Corporate Bonds - Evidence before and after the Financial Crisis

Aussenegg

Goetz²,

Jelic

2015

Eur Financial Management

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We examine monthly excess returns for 23 Euro-denominated corporate bond indices and propose a new specification for bond asset pricing models. Specifically, we separate level and slope components of term and default risk factors and examine liquidity risk. Our results suggest that level and slope risk factors, derived from complete interest rate and default spread term structures, significantly improve the explanatory power of the Fama and French (1993) 2-factor model. We also demonstrate different sensitivities of risk factors before and after recent financial crisis. The results are robust to calendar seasonality and the consideration of equity market returns.Hypothesis 1: Only a few risk factors are sufficient to explain the common movement of European corporate bond returns.Duffee (1998) reports the importance of a term factor of the interest rate curve, defined as the performance difference between a 30 year Treasury bond and the 3 month Libor

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“…Also, the Nelson-Siegel model has known a great success in academic research. Indeed, Dullman, Klaus, Marliese Uhrig-Homburg, and Windfuhr [11] used the Nelson-Siegel model to construct a ZC rates adapted to the German bond market.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The time 10 (Today's date-1)-the operation date≤30 test bases on the difference between the date of today-1 and the operation date 11 , we post "True" if the Treasury bill has an historic of one month or less and "False" if the historic exceed one month.…”

Section: The Choice Of the Underlying Marketmentioning

confidence: 99%

“…Step2: The objective here is to find the theoretical prices. We create first a new sheet named "Price-yield" that imports the yields from the Average WAR of the "Sample" sheet then for every long-term Treasury bill we create a new independent sheet with the name of each 11 The acquisition date of the Treasury bill 12 (Today's date-1)-the operation date≤60 13 The FMC is an independent public authority that has civil personality and financial autonomy. The FMC is responsible for ensuring the protection of savings invested in securities.…”

Section: The Average Of the Weighted Average Ratementioning

confidence: 99%

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Yield Curve Estimation: An Empirical Evidence from the Tunisian Bond Market

Chouikh¹,

Yousfi²,

Chehibi³

2017

JFE

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Our paper aims to model the yield curve that corresponds to a graphical representation of the yields offered by the bonds of the same issuer according to their maturity, from the shortest to the longest expiration date in the Tunisian bond market (TBM). To get to our objective, we will compare the Nelson-Siegel modeling strategy, which is most often used for the analysis and the hedging of the interest rate risk of portfolios with known flows in practice, to the Svensson modeling strategy, which is the extension of the Nelson-Siegel model. Our sampling data statistically support the evidence that the more appropriate yield curve for the TBM is that estimated by the NelsonSiegel model.

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Risk structure of interest rates: an empirical analysis for Deutschemark‐denominated bonds

Cited by 27 publications

References 17 publications

Common Factors in the Performance of European Corporate Bonds – Evidence before and after the Financial Crisis

Common Factors in the Performance of European Corporate Bonds – Evidence before and after the Financial Crisis

Common Factors in the Performance of European Corporate Bonds - Evidence before and after the Financial Crisis

Yield Curve Estimation: An Empirical Evidence from the Tunisian Bond Market

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