Estimating the Term Structure With a Semiparametric Bayesian Hierarchical Model: An Application to Corporate Bonds
半参数贝叶斯层级模型估计利率期限结构：公司债应用
The term structure of interest rates is used to price defaultable bonds and credit derivatives, as well as to infer the quality of bonds for risk management purposes. We introduce a model that jointly estimates term structures by means of a Bayesian hierarchical model with a prior probability model based on Dirichlet process mixtures. The modeling methodology borrows strength across term structures for purposes of estimation. The main advantage of our framework is its…