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Power of model, BBB grade is most relavant

Using highly correalated determinant of credit spread, five variable, power of model is higher than other research.
But unstability movement of credit spread, financial market, credit market, deceasing trading
volume cause to each determinants usefulness.
Models says, estimation of BBB grade and each determinants highly correlated, valuation of credit spread is relevant


Under BBB0 grade vs over A- grade have different movement

Unde BBB0 grade vs over BBB+ grade have different movement, it means that over BBB+ grade have safety asset quality
Over A- grade case, as risk free rate increase credit spread has same direction, it means that these sector included in risk free asset class
BBB+ grade has risk free asset quality, such as risk free rate increase credit spread decrease, but has different propensity to over A+ grade means that have unother demand


Lower grade bonds vulnerable to credit event

Result of each determinant impulse response function, lower grade needs more adjusted period than higher grade, it means that lower grade vulnerable to credit event
It means that, BBB grade included in investment grade, but take account of valuation loss when credit event happened
Credit spread incresing or decreasing expected, selected investment in credit bond market will improve investment performance


Despite of defection, results has a contribution to bond investment and risk management

we have a weak point, model not includes corporate financial variable with the limits of data
Analysis of credit spread determinants each grade and sector, has a contribution to bond investment and risk management