ヤマムラ ヨシロウ   Yamamura Yoshiro
  山村 能郎
   所属   専門職大学院  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 2015/11
形態種別 学術雑誌
査読 査読有り
標題 Credit Risk Analysis on Euro Government Bonds -Term Structures of Default Probabilities
執筆形態 共著(筆頭者以外)
掲載誌名 Asia-Pacific Financial Markets
出版社・発行元 Springer
巻・号・頁 22(4),pp.397-427
著者・共著者 Takeaki Kariya, Yoko Tanokura, Zhu Wang
概要 In this paper, we make a comprehensive credit risk analysis on government bonds (GBs) of Germany, France, Italy, Spain and Greece over the period 2007.4-2012.3, where interest rate (IR) differential, GB price differential, default probability(DP) and credit default swap (CDS) are considered. First, applying the GBpricingmodel in Kariya (Quantitative methods for portfolio analysis: MTV approach.Springer,Berlin, 1993) to theseGBprices,we derive the term structures of interest rates(TSIRs) and discuss on the Maastricht convergence condition for the IR-differentials among these states relative to the German TSIRs and make some observations on some divergent tendencies. The results are associated with the business cycles and budgetary condition of each state. In the second part, to substantiate this viewpoint, we firstmake credit risk price spread analysis on price differentials and derive the term structures of default probabilities (TSDPs) of the French, Italian, Spanish and Greek GBs relative to the German GBs, where the corporate bond (CB) model proposed in Kariya(Advances in modern statistical theory and applications: a Festschrift for Professor Morris L. Eaton. Institute of Mathematical Statistics, Beachwood, 2013) is used in the derivation. Then it is empirically shown that the TSDPs show a significant divergent movement at the end of 2011, affected by the Euro Crisis. In addition, the TSDPs of these GBs are empirically shown to be almost linear functions of the differences of the TSIRs, which enables us to state the Maastricht condition in terms of DP. Thirdly the effectiveness of our TSDPs is empirically verified by comparing them with the corresponding CDSs against US dollars.
DOI 10.1007/s10690-015-9202-6
ISSN 1387-2834