Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.505420
Title: On the determinants of yield spread sensitivity of corporate bonds to changes in the spot rate curve
Author: Boulkeroua, Mohamed Lotfi
Awarding Body: The University of Manchester
Current Institution: University of Manchester
Date of Award: 2009
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Abstract:
The objective of my PhD research is to understand the impact of changes in the spot rate curve on the yield spread of corporate bonds. In my research, I seek to provide the answers to the following questions: (i) are corporate bonds with the same credit rating heterogeneous with respect to their sensitivities to changes in the spot rate curve? (ii) if they are heterogeneous, can the heterogeneity be explained by variables such as sector affiliation, credit rating, remaining time to maturity, and firm-specific characteristics?; and (iii) is there a sample selection bias in the index-based method used by previous empirical work to assess the yield spread sensitivity of corporate bonds to changes in the level and slope of the spot rate curve?
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.505420  DOI: Not available
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