On Credit Spreads: An Autoregressve Model Approach
F¨or att undvika ekonomiska kriser likt den 2008 beh¨over finansinstitut bra modeller f¨or bland annat obligationspriser och kreditindex. Genom att anv¨anda skillnaden i r¨anta mellan riskfria och riskfyllda obligationer kan dessa modelleras och s¨akra att bankers och f¨ors¨akringsbolags tillg˚angar r¨acker vid tider av ekonomisk turbulens. Ett kreditindex ¨ar ett index som best˚ar av f¨oretagsobliThis thesis proposes an autoregressive credit spread model to make long term simulations of credit spreads and credit indices in the Investment grade and High yield bond segments. Several models are tested, and the final spread model produces simulations with statistics consistent with historical data, even though the model itself is relatively parsimonious. A transition from spread to index is pro