The Dynamics of Credit Spreads and Ratings Migrations
构建了一类可违约期限结构模型，并用贝叶斯方法比较两个非嵌套模型，发现恒定转移概率模型无法拟合评级间利差的动态变化。
Abstract There is a large and growing literature on how to model the dynamics of the default-free term structure to fit the observed historical data. Much less is known about how best to model the dynamics of defaultable yield curves. This paper develops a class of defaultable term structure models that is tractable enough to be empirically implemented and flexible enough to capture some important behaviors of the credit spreads in the data. We compare two non-nested models within this class using a Bayesian estimation technique, which helps to solve the problem of latent state variables. The Bayesian approach also enables us to test the two non-nested models on the basis of the Bayes factor. The results strongly suggest that models with constant transition probabilities will not be able to fit the observed dynamics of inter-rating spreads.