NDLI: Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management

Content Provider	Springer Nature Link
Author	Chen, Rongda Yang, Liu Wang, Weijin Tang, Ling
Copyright Year	2014
Abstract	This paper exploits the implied information of data collected from credit spreads of Chinese corporate bonds and systemic and idiosyncratic risk factors. We compute contribution of risk factors to credit spreads of Chinese corporate bonds by establishing the unbalanced panel data model, identify the key factors impacting the size of credit spreads of corporate bonds. Knowledge extracted by data mining is helpful to investors for reasonable pricing of bonds and making rational investment decisions. When selecting variables, the unbalanced panel data model is used to calculate the Zero-volatility credit spreads, which are more accurate. We use term structure adjusted return of bond index as the systemic risk factor of corporate bond market, the three Fama/French systemic factors as the systemic risk factors of stock markets and idiosyncratic stock/bond volatility and idiosyncratic bond value-at-risk as the idiosyncratic risk factors. Empirical analysis of corporate bonds sampling China’s listing Corporation issued and traded on Shanghai Stock Exchange from 2008 to 2011 shows that the size of credit spreads is mainly determined by the systemic risk factors of bond market, i.e. risk factors of stock market make very little contribution to the spread; the idiosyncratic risk factors also contribute. An interesting phenomenon is that we find that the relationship between idiosyncratic stock volatility and credit spread is negative, which is contrary to extant research while the relationship is positive and mainly focuses on impact of risk factors on credit spread of corporate bond.
Starting Page	3
Ending Page	15
Page Count	13
File Format	PDF
ISSN	02545330
Journal	Annals of Operations Research
Volume Number	234
Issue Number	1
e-ISSN	15729338
Language	English
Publisher	Springer US
Publisher Date	2014-09-19
Publisher Place	New York
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Intelligent knowledge management Corporate bond Credit spread Systematic risk factor Idiosyncratic risk factor Unbalanced panel data model Operations Research/Decision Theory Combinatorics Theory of Computation
Content Type	Text
Resource Type	Article
Subject	Management Science and Operations Research

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Euro corporate bonds risk factors∗ (2006).

Idiosyncratic downside risk and the credit spread puzzle by (2008).

Euro corporate bonds risk factors∗ (2008).

Credit risk optimization using factor models

Intelligent knowledge management in operations research

Credit default swaps and systemic risk

Firm credit risk evaluation: a series two-stage DEA modeling framework

Corporate credit risk changes: common factors and firm-level fundamentals.

Research and analysis decomposing corporate bond spreads 533 decomposing corporate bond spreads by lewis webber of the bank’s systemic risk assessment division and rohan churm of the bank’s conjunctural.

Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management

Similar Documents

Euro corporate bonds risk factors∗ (2006).

Idiosyncratic downside risk and the credit spread puzzle by (2008).

Euro corporate bonds risk factors∗ (2008).

Credit risk optimization using factor models

Intelligent knowledge management in operations research

Credit default swaps and systemic risk

Firm credit risk evaluation: a series two-stage DEA modeling framework

Corporate credit risk changes: common factors and firm-level fundamentals.

Research and analysis decomposing corporate bond spreads 533 decomposing corporate bond spreads by lewis webber of the bank’s systemic risk assessment division and rohan churm of the bank’s conjunctural.

Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management