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In Chapter 7 , the three measurements: KCR-Spread, KCR-Measure and KCR-Index in the KCR-Rating Model [B] are found to be empirically very useful measures to timely capture credit risk of each individual CB relative to KGB3 model-price

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Credit Risk Analyses on CB Prices in the US Energy Sector

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  • 发表日期：

    2025年

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  • Takeaki Kariya,
  • Yoshiro Yamamura

摘要

In Chapter 7 , the three measurements: KCR-Spread, KCR-Measure and KCR-Index in the KCR-Rating Model [B] are found to be empirically very useful measures to timely capture credit risk of each individual CB relative to KGB3 model-price