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Results for “China” · papers 1 · wiki 36
Academic Papers · 1arXiv q-fin live 0 · desk corpus 1
arXiv · arXiv · 2026

Corporate Bond Yield Curve Modeling: A Rating-Based Regime-Switching Generalized CIR Approach

Persistent shifts in term-structure dynamics undermine the stability of single-regime models in long samples. We develop an arbitrage-free regime-switching generalized CIR (RS-GCIR) model that jointly prices the Chinese government bond (CGB) curve and corporate bond curves. To capture the systematic transmission from interest-rate conditions to credit spreads, we structure the model into two blocks and price corporat…

Maochun Xu, Yunqi Liang, Yi Hong
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Wiki Entities · 36
Economy

China Credit Impulse

China credit impulse measures the change in new credit growth relative to GDP and is widely used as a leading indicator for Chinese demand and global cyclical momentum.

Commodities

Copper Price

Copper price is widely used as a proxy for industrial activity, manufacturing demand, and global growth expectations.

Emerging Markets

China Property Cycle

China Property Cycle — Developer stress and land sales impacting global commodities and EM growth.

Commodities

Rare Earth Supply Risk

Rare Earth Supply Risk (Commodities).

Commodities

Copper Dr Copper Signal

Copper Dr Copper Signal — Copper as a global industrial and China-cycle barometer.

Commodities

Iron Ore Freight Link

Iron Ore Freight Link — Ore and dry bulk freight co-moving with China steel demand.

Emerging Markets

China Belt Road Debt

China Belt Road Debt (Emerging Markets).

FX

Commodity Currency Beta

Commodity Currency Beta — AUD/CAD/NZD sensitivity to commodity and China cycles.

Systems

Feedback Loop China

Feedback Loop China — Operating constraint and control-surface concept for Quant OS desks.

Systems

Constraint Map China

Constraint Map China — Operating constraint and control-surface concept for Quant OS desks.

Fixed Income

Treasury Curve China

Treasury Curve China — Rates and credit cash-market concept for fixed-income desks.

Fixed Income

Swap Spread China

Swap Spread China — Rates and credit cash-market concept for fixed-income desks.

Fixed Income

Credit Spread China

Credit Spread China — Rates and credit cash-market concept for fixed-income desks.

Fixed Income

OAS Window China

OAS Window China (Fixed Income).

Economy

GDP Nowcast China

GDP Nowcast China — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

Industrial Production China

Industrial Production China — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

Retail Sales China

Retail Sales China — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

Capex Survey China

Capex Survey China — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

Housing Starts China

Housing Starts China — Macroeconomic indicator or cycle concept used in regime diagnosis.

Equity

Earnings Revision China

Earnings Revision China — Equity factor, event, or flow concept for cash equity desks.

Equity

Estimate Dispersion China

Estimate Dispersion China — Equity factor, event, or flow concept for cash equity desks.

Equity

PEG Screen China

PEG Screen China (Equity).

Equity

Free Cash Flow Yield China

Free Cash Flow Yield China — Equity factor, event, or flow concept for cash equity desks.

Equity

Buyback Yield China

Buyback Yield China — Equity factor, event, or flow concept for cash equity desks.

Equity

Dividend Aristocrat China

Dividend Aristocrat China — Equity factor, event, or flow concept for cash equity desks.

Equity

Quality Factor China

Quality Factor China — Equity factor, event, or flow concept for cash equity desks.

Equity

Value Spread China

Value Spread China — Equity factor, event, or flow concept for cash equity desks.

Equity

Momentum Crowding China

Momentum Crowding China — Equity factor, event, or flow concept for cash equity desks.

Equity

Low Vol Anomaly China

Low Vol Anomaly China — Equity factor, event, or flow concept for cash equity desks.

Banking

Net Interest Margin China

Net Interest Margin China — Bank balance-sheet, funding, or regulatory capital concept.

Banking

Deposit Beta China

Deposit Beta China — Bank balance-sheet, funding, or regulatory capital concept.

Banking

Loan Growth China

Loan Growth China (Banking).

Banking

NPL Ratio China

NPL Ratio China (Banking).

Banking

Provision Cycle China

Provision Cycle China — Bank balance-sheet, funding, or regulatory capital concept.

Banking

CET1 Buffer China

CET1 Buffer China (Banking).

Banking

Leverage Ratio China

Leverage Ratio China — Bank balance-sheet, funding, or regulatory capital concept.

Option Blackboard · 0
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Encyclopedia · 24
Fixed Income · Foundations

ABS Tranche China

ABS Tranche China (Fixed Income).

Equity · Foundations

ADR Parity China

ADR Parity China (Equity).

Banking · Foundations

AFS AOCI China

AFS AOCI China (Banking).

Fixed Income · Foundations

Agency MBS China

Agency MBS China (Fixed Income).

Liquidity · Foundations

Amihud Illiquidity China

Amihud Illiquidity China — Market or funding liquidity stress and intermediation concept.

Equity · Foundations

Analyst Upgrade Cycle China

Analyst Upgrade Cycle China (Equity).

Macro Policy · Foundations

Automatic Stabilizer China

Automatic Stabilizer China (Macro Policy).

Emerging Markets · Foundations

Banking Dollarization China

Banking Dollarization China (Emerging Markets).

Equity · Foundations

Borrow Cost China

Borrow Cost China (Equity).

Banking · Foundations

Brokered Deposit China

Brokered Deposit China (Banking).

Economy · Foundations

Building Permits China

Building Permits China (Economy).

Equity · Foundations

Buyback Yield China

Buyback Yield China — Equity factor, event, or flow concept for cash equity desks.

Emerging Markets · Foundations

CA Deficit Financing China

CA Deficit Financing China (Emerging Markets).

Systems · Foundations

Capacity Envelope China

Capacity Envelope China (Systems).

Economy · Foundations

Capacity Utilization China

Capacity Utilization China (Economy).

Economy · Foundations

Capex Survey China

Capex Survey China — Macroeconomic indicator or cycle concept used in regime diagnosis.

Macro Policy · Foundations

Capital Control Regime China

Capital Control Regime China (Macro Policy).

Banking · Foundations

Card Chargeoff China

Card Chargeoff China (Banking).

Fixed Income · Foundations

Carry Window China

Carry Window China (Fixed Income).

Liquidity · Foundations

Cash Futures Basis Liquidity China

Cash Futures Basis Liquidity China (Liquidity).

Liquidity · Foundations

CCP Liquidity Drain China

CCP Liquidity Drain China (Liquidity).

Banking · Foundations

CET1 Buffer China

CET1 Buffer China (Banking).

Emerging Markets · Foundations

China Belt Road Debt

China Belt Road Debt (Emerging Markets).

Emerging Markets · Foundations

China Bilateral Loan Brazil

China Bilateral Loan Brazil (Emerging Markets).

Cards · 0
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