ヤマムラ　ヨシロウ   Yamamura Yoshiro   山村　能郎    所属   明治大学専門職大学院  明治大学グローバル・ビジネス研究科    職種   専任教授
言語種別	英語
発行・発表の年月	2025/05
形態種別	著書
査読	査読あり
標題	Empirically Effective Government and Corporate Bond Pricing Models - Yield Curves and Default Curves
執筆形態	共著(筆頭者以外)
掲載区分	国外
出版社・発行元	Springer Nature
総ページ数	303
担当区分	最終著者
著者・共著者	Takeaki Kariya and Yoshiro Yamamura
原著者	Takeaki Kariya and Yoshiro Yamamura
概要	This book presents a comprehensive, innovative, integrated, and empirically effective system for cross-sectionally analyzing prices of government bonds (GBs) and corporate bonds (CBs) to timely obtain practically useful information on yield curves and default curves. The system consists of (1) GB-pricing model that values coupon GB and gives yield curve, (2) credit risk rating model of each CB, and (3) CB-pricing model that gives default curve or equivalently term structure of default probabilities (TSDP), which prices credit default swap (CDS). And in view of data science, the empirical effectiveness of the modeling concept, formulated models with price correlations, and estimation procedures in the system is verified with monthly data through various applications of the models to practically important analyses on prices of Japanese GBs and CBs, the USA GBs and CBs, and European GBs (EUGBs) where GBs of Germany, France, Italy, Spain, and Greece.
DOI	https://doi.org/10.1007/978-981-96-1104-1
ISBN	978-981-96-1103-4
AmazonURL	https://www.amazon.co.jp/Empirically-Effective-Government-Corporate-Pricing-ebook/dp/B0FBKTJPP8/ref=sr_1_1?__mk_ja_JP=%E3%82%AB%E3%82%BF%E3%82%AB%E3%83%8A&crid=BDW2PU5RKKB7&dib=eyJ2IjoiMSJ9.NwKStxVGlx8NGm50AaAJbQ.L72NoO38LR8W0V1qyaL6ZDzL6f_b8sGlfPSo-jXZN7Q&dib_tag=se&keywords=Takeaki+Kariya+Yoshiro+Yamamura&qid=1748936534&sprefix=takeaki+kariya+yoshiro+yamamura%2Caps%2C158&sr=8-1