CMStatistics 2022: Start Registration
View Submission - CFE
A0641
Title: Yield curve estimation and liquidity risk in corporate bond market Authors:  Takeshi Kobayashi - NUCB Business School (Japan) [presenting]
Abstract: The aim is to estimate the zero coupon yield curve of Japanese corporate bonds at firms' level. We compare the different types of models and identify their characteristics and propose a different type of weighting method considering liquidity risk in the Japanese corporate bond market. We examine the model performance by maturity bucket and time series. We show that the Steeley (B-spline) model fits best among the models. The results also show the yield discrepancy provides an improvement in pricing errors. It contributes to the literature by considering liquidity in the estimation of the corporate bond yield curve. For academics and practitioners, clear evidence of the practical importance of estimation methods and the basic data for credit risk modeling is provided.