Review on Term Structure

Abstract

Abstract. Domestic and foreign scholars on corporate bonds affine term structure models with varying degrees of research, the results is very rich. We can predict bond forward rates for Treasury bonds, the current yield term structure includes information of long-term maturity structure. For example, if a bond yield curve is steeper than usual, the long maturity bond yields will be reduced over time. This prediction depends only on the relationship between the yield time series behavior, it can extract more information from the current term structure, improve prediction. Research abroad Interest Rate Term Structure affine model are as follows.

Non-Homogeneous Semi-Markov and Markov Renewal Processes and Change of Measure in Credit Risk

“…The above publications of non-homogeneous semi-Markov and Markov renewal processes for credit risk was followed by quite a lot of literature by the same and other authors in credit risk and related subjects. For example, from recent years, see Huang [13], D' Amico et al [14,15], D' Amico [16], Magni et al [17], Wu et al [18,19], Puneet et al [20], De Blasis [21]. In D' Amico et al [22], bivariate semi-Markov processes are introduced for the pricing of Credit Default Swaps (CDS).…”