c*****l
发帖数: 12 | 1 很多人计算interest spread来测度信用风险，尤其是最近次债危机以来，这种spread
显著飙升。我对金融不太熟悉，有的东西心里没有把握，特此请教，谢谢！
我计算了两个利差的长时间序列:
TED利差：3个月欧洲美元利率（即银行间利率）减去3个月国债利率。
Baa利差：10年期穆迪Baa级Corporate Bond利率减10年期国债利率，Michalel Bordo（
2008)就是用的这个。
我是否可以说，TED利差主要是测度银行间的信用风险；而Baa主要测度公司的信用风险
?对前一个还有点把握，但后者我就没底了（所谓Corportate Bond是不是也包括银行发
行的债券）？
从数据上看我发现两个利差波动趋势有一定差别，2001年衰退的时候，Baa利差加大，
但TED利差基本没有变，因此我想推断2001年当时公司信用风险很大，但银行间信用没
有出现问题。
如能点拨一二，非常感谢！很多文献都是拿这两个利差直接用，都没有给出解释，如能点拨这方面的相关背景资料，也非常感谢。
（有兴趣的话我可以把图发过去，欢迎讨论） |
f*****0
发帖数: 489 | 2 not really sure what you are asking - using Chinese terms didn't help either.
But TED (treasury yield - libor) measures the 'perceived' incremental risk
of lending to a bank in the spot market vs. buying the t-bills which is *
generally* considered to be risk free. so if the market believes that the
banks are getting riskier (they don't have actually be riskier) the spread
will widen.
the spread could also widen if the t-bills are perceived to be less risky.
This happened at 4Q08 when the financ |
c*****l
发帖数: 12 | 3 My question is:
Can I say that the TED spread measures the credit risk among banks or
financial institutions, and the Baa spread measures the credit risk among
ordinary industrial corporates?(I assume that the corporate bonds are mostly
issued by ordinary corporates, such as Walmart and Microsoft etc)
If I am right, maybe I can say that in 2001 there is credit risk among
corporates, but there is no credit risk among banks.
Thank you very much for your patience and detailing explanation, thank yo
【在 f*****0 的大作中提到】
: not really sure what you are asking - using Chinese terms didn't help either.
: But TED (treasury yield - libor) measures the 'perceived' incremental risk
: of lending to a bank in the spot market vs. buying the t-bills which is *
: generally* considered to be risk free. so if the market believes that the
: banks are getting riskier (they don't have actually be riskier) the spread
: will widen.
: the spread could also widen if the t-bills are perceived to be less risky.
: This happened at 4Q08 when the financ
|
f*****0
发帖数: 489 | 4
among
mostly
you.
the point of that detailed explanation is to show you that while you
*generally* can say that, sometimes you cannot. the big assumption here
is that treasury yields represent risk free return. Sometimes, that
assumption doesn't hold.
you have to know the particular circumstances behind it.
there is always credit risk, anytime with any creditor.
i don't get the sense that you understand what's going on.
【在 c*****l 的大作中提到】
: My question is:
: Can I say that the TED spread measures the credit risk among banks or
: financial institutions, and the Baa spread measures the credit risk among
: ordinary industrial corporates?(I assume that the corporate bonds are mostly
: issued by ordinary corporates, such as Walmart and Microsoft etc)
: If I am right, maybe I can say that in 2001 there is credit risk among
: corporates, but there is no credit risk among banks.
: Thank you very much for your patience and detailing explanation, thank yo
|
s*****w
发帖数: 2065 | 5 去看fama&french(1992)的TERM和DEFAULT?
spread
【在 c*****l 的大作中提到】
: 很多人计算interest spread来测度信用风险，尤其是最近次债危机以来，这种spread
: 显著飙升。我对金融不太熟悉，有的东西心里没有把握，特此请教，谢谢！
: 我计算了两个利差的长时间序列:
: TED利差：3个月欧洲美元利率（即银行间利率）减去3个月国债利率。
: Baa利差：10年期穆迪Baa级Corporate Bond利率减10年期国债利率，Michalel Bordo（
: 2008)就是用的这个。
: 我是否可以说，TED利差主要是测度银行间的信用风险；而Baa主要测度公司的信用风险
: ?对前一个还有点把握，但后者我就没底了（所谓Corportate Bond是不是也包括银行发
: 行的债券）？
: 从数据上看我发现两个利差波动趋势有一定差别，2001年衰退的时候，Baa利差加大，
|
