Predicting Simultaneous Severe Recessions Using Yield Spreads as Leading Indicators

2011 ◽  
Author(s):  
Charlotte Christiansen
Keyword(s):  
Leading Indicators ◽  
Yield Spreads

Predicting severe simultaneous recessions using yield spreads as leading indicators

2013 ◽  
Vol 32 ◽  
pp. 1032-1043 ◽  
Author(s):  
Charlotte Christiansen
Keyword(s):  
Leading Indicators ◽  
Yield Spreads

Leveraging Accident Investigation Reports as Leading Indicators of Construction Safety Using Text Classification

2020 ◽  
Author(s):  
Shraddha Shrestha ◽  
Syed Ahnaf Morshed ◽  
Nipesh Pradhananga ◽  
Xuan Lv
Keyword(s):  
Text Classification ◽  
Construction Safety ◽  
Leading Indicators ◽  
Accident Investigation

Risk Factors of Collateralized Loan Obligations and Corporate Bonds

2020 ◽  
Vol 32 (6) ◽  
pp. 347-355
Author(s):  
Mark Wahrenburg ◽  
Andreas Barth ◽  
Mohammad Izadi ◽  
Anas Rahhal
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Systemic Risk ◽  
Corporate Bonds ◽  
Risk Exposure ◽  
Expected Returns ◽  
Yield Spreads ◽  
Pricing Factors ◽  
Return Difference

AbstractStructured products like collateralized loan obligations (CLOs) tend to offer significantly higher yield spreads than corporate bonds (CBs) with the same rating. At the same time, empirical evidence does not indicate that this higher yield is reduced by higher default losses of CLOs. The evidence thus suggests that CLOs offer higher expected returns compared to CB with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing factors. We show that market risk is the predominant risk factor for both CBs and CLOs. CLO investors, however, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class of the CLO.

Corporate Yield Spreads and Bond Liquidity

CFA Digest ◽  
2007 ◽  
Vol 37 (3) ◽  
pp. 18-19
Author(s):  
Edgar J. Sullivan
Keyword(s):  
Yield Spreads ◽  
Bond Liquidity

Cash Flow Volatility and Corporate Bond Yield Spreads

2008 ◽  
Author(s):  
Kenneth R. Vetzal ◽  
Alan V. S. Douglas ◽  
Alan Guoming Huang
Keyword(s):  
Cash Flow ◽  
Corporate Bond ◽  
Yield Spreads ◽  
Bond Yield ◽  
Cash Flow Volatility

Internal Liquidity Risk in Corporate Bond Yield Spreads: Bond- and Market-Level Evidences

2009 ◽  
Author(s):  
Hsien-Hsing Liao ◽  
Tsung-Kang Chen ◽  
tsai pei-ling
Keyword(s):  
Liquidity Risk ◽  
Corporate Bond ◽  
Yield Spreads ◽  
Bond Yield
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