Skip to main content
SpringerLink
Log in

Zur Schätzung der Fristenstruktur von Credit Spreads

  • Published:
Financial Markets and Portfolio Management Aims and scope Submit manuscript

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Literatur

  • ALTMAN, E. I. (1989): “Measuring Corporate Bond Mortality and Performance”, Journal of Finance 44(4), pp. 909–922.

    Google Scholar 

  • ALTMAN, E. I. (1993): “Corporate Financial Distress and Bankruptcy”, 2. Auflage, New York: John Wiley.

    Google Scholar 

  • AMMANN, M. (1998): “Pricing Derivative Credit Risk. Dissertation”, Universität St. Gallen.

  • BLACK, F. und M. SCHOLES (1973): “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81, pp. 637–654.

    Google Scholar 

  • BUSSMANN, J. (1988): „Das Management von Zinsänderungsrisiken: Theoretische Ansätze und ihre empirische Überprüfung für den deutschen Rentenmarkt“, Frankfurt am Main: Peter Lang.

    Google Scholar 

  • CHAMBERS, D. R., W. T. CARLETON und D. W. WALDMAN (1984): “A New Approach to Estimation of the Term Structure of Interest Rates”, Journal of Financial and Quantitative Analysis 19(3), pp. 233–252.

    Google Scholar 

  • COSSIN, D. (1997): “Credit Risk Pricing: A Literature Survey”, Finanzmarkt und Portfolio Management 11(4), pp. 398–412.

    Google Scholar 

  • DEBOOR, C. (1978): “A Practical Guide to Splines”, New York: Springer.

    Google Scholar 

  • DERMODY, J. C. und R. T. ROCKAFELLAR (1991): “Cash Stream Valuation in Marktes with Realistic Transaction Costs”, Journal of Financial and Quantitative Analysis 28(1), pp. 65–80.

    Google Scholar 

  • DEPPNER, C. (1992): „Die Schätzung der Zinsstruktur und deren Bedeutung in der Kapitalmarkttheorie”, Dissertation, Hochschule St. Gallen.

  • DUFFIE, D. und K. SINGLETON (1995): “Modeling Term Structures of Defaultable Bonds”, Discussion Paper, Graduate School of Business, Stanford Universtiy.

  • DYBVIG, P. und S. A. ROSS (1992): “Arbitrage”, in: P. Newman, M. Milgate und J. Eatwell: The New Palgrave Dictionary of Money & Finance, London: Macmillan Press, pp. 43–50.

    Google Scholar 

  • ELTON, E. J. und C. T. GREEN (1998): “Tax and Liquidity Effects in Pricing Government Bonds”, Journal of Finance 54(5), pp. 1533–1562.

    Google Scholar 

  • GREEN, R. C. und B. A. ODEGAARD (1997): “Are There Tax Effects in the Relative Pricing of U.S. Government Bonds?”, Journal of Finance 52(2), pp. 609–633.

    Google Scholar 

  • INGERSOLL, J. E. Jr. (1987): The Theory of Financial Decision Making, Maryland: Rowman & Littlefield.

    Google Scholar 

  • JONES, E. P., S. P. MASON und E. ROSENFELD (1984): “Contingent Claim Analysis of Corporate Capital Structures: An Empirical Investigation”, Journal of Finance 39(3), pp. 611–627.

    Google Scholar 

  • KÄRKI, J. P. und O. M. AUBRY (1990): „Term Structure of Interest Rates and Bond Valuation“, Zürich: Schweizerische Kreditanstalt.

    Google Scholar 

  • KUEHNE, D. (1999): “Schätzungen zur Fristenstruktur von Credit Spreads”, Diplomarbeit, Universität St. Gallen.

  • LITZENBERGER, R. H. und J. ROLFO (1984): “An International Study of Tax Effects on Government Bonds”, Journal of Finance 39(1), pp. 1–22.

    Google Scholar 

  • NANDI, S. (1998): “Valuation Models for Default-Risky Securities: An Overview”, Economic Review, Federal Reserve Bank of Atlanta, 4. Quartal, pp. 22–35.

  • MCCULLOCH, J. H. (1971): “Measuring the Term Structure of Interest Rates”, Journal of Business 44, pp. 19–31.

    Article  Google Scholar 

  • MCCULLOCH, J. H. (1975): “The Tax-Adjusted Yield Curve”, Journal of Finance 30(3), pp. 811–830.

    Google Scholar 

  • MERTON, R. C. (1974): “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance 29, pp. 449–470.

    Google Scholar 

  • RONN, E. I. (1987): “A New Linear Programming Approach to Bond Portfolio Management”, Journal of Financial and Quantitative Analysis 22(4), pp. 439–466.

    Google Scholar 

  • SARIG, O. und A. WARGA (1989a): “Some Empirical Estimates of the Risk Structure of Interest Rates”, Journal of Finance 44(5), pp. 1351–1360.

    Google Scholar 

  • SARIG, O. und A. WARGA (1989b): “Bond Price Data und Bond Market Liquidity”, Journal of Financial and Quantitative Analysis 24(3), pp. 367–378.

    Google Scholar 

  • SCHUMAKER, L. L. (1981): Spline Functions: Basic Theory, New York: John Wiley.

    Google Scholar 

  • SHEA, G. S. (1984): “Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations”, Journal of Financial and Quantitative Analysis 19(3), pp. 253–269.

    Google Scholar 

  • SPRENGER, M. (1998): Ansätze zur regulatorischen Erfassung des Marktrisikos. Eine kritische Analyse, Bern: Haupt.

    Google Scholar 

  • STEELEY, J. M. (1991): “Estimating the Gilt-Edged Term Structure: Basis Splines and Confidence Intervals”, Journal of Business and Accounting 18(4), pp. 513–529.

    Google Scholar 

  • TOBLER, J. (1992): Schätzung von Zinsstrukturen für den SFr.-Kapitalmarkt unter Berücksichtigung von Friktionen, Bern: Paul Haupt.

    Google Scholar 

  • VASICEK, O. A. und H. G. FONG (1982): “Term Structure Modeling Using Exponential Splines”, Journal of Finance 37(2), pp. 339–348.

    Google Scholar 

  • WARGA, A. (1998): “Lehman Brothers Fixed Income Database”, University of Houston.

Download references

Author information

Authors and Affiliations

  1. Bank Vontobel, Zürich, Schweiz

    Daniel Kuehne

Authors
  1. Daniel Kuehne
    View author publications

    You can also search for this author in PubMed Google Scholar

Rights and permissions

Reprints and permissions

About this article

Cite this article

Kuehne, D. Zur Schätzung der Fristenstruktur von Credit Spreads. Fin Mkts Portfolio Mgmt 15, 30–48 (2001). https://doi.org/10.1007/s11408-001-0103-5

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11408-001-0103-5

Search

Navigation