creator Arifi, Imir advisor Cooper, Ricky This study (thesis) predicts out of sample one to five year quarterly credit default swap spread curves for subsets of a population comprised of 308 companies via the linear Bayesian Random Coefficient Model (RMC) with balanced panel construction, capturing over 80% of reference entities with liquid CDS term structures. The use of scoring, structural and reduced form model variations generates credit spread tenure points and curves at the company level. The Altman Z-score and classic Merton structural framework explain too little of the credit default swap spreads out of sample. However, The Merton structural framework works well in predicting out of sample credit default swap spreads when modified by deriving the implied leverage ratio via market spreads. The widely used, Bloomberg implemented, JPMorgan 2001(CDSW) model works well for the period the study covers. The Bayesian Random Coefficients model explains 87% of observed credit default swap spreads one quarter out of sample, substantially exceeding any published research on the credit spread forecasting subject. Submitted by Liana Khananashvili (khananashvili@iit.edu) on 2014-11-05T20:12:06Z No. of bitstreams: 2 Imir's Thesis.pdf: 1175126 bytes, checksum: 62bf0f4b8994905c3106333987fe24a1 (MD5) Signature Page.pdf: 99664 bytes, checksum: c0611f1e6e330bf0ddabb801d5fed7f7 (MD5) Made available in DSpace on 2014-11-05T20:12:06Z (GMT). No. of bitstreams: 2 Imir's Thesis.pdf: 1175126 bytes, checksum: 62bf0f4b8994905c3106333987fe24a1 (MD5) Signature Page.pdf: 99664 bytes, checksum: c0611f1e6e330bf0ddabb801d5fed7f7 (MD5) Previous issue date: 2014-05 PH.D in Management Science, May 2014 2014 2014-05 http://hdl.handle.net/10560/3327 en Dissertation born digital application/pdf In Copyright http://rightsstatements.org/page/InC/1.0/ Restricted Access SSB / Stuart School of Business Illinois Institute of Technology Affiliated department