previously circulated under the title The variation of default risk with Treasury yields This paper empirically examines the relation between the Treasury term structure and spreads of investment grade corporate bond yields over Treasuries. I �nd that noncallable bond yield spreads fall when the level of the Treasury term structure rises. The extent of this decline depends on the initial credit quality of the bond; the decline is small for Aaa-rated bonds and large for Baa-rated bonds. The role of the business cycle in generating this pattern is explored, as is the link between yield spreads and default risk. I also argue that yield spreads based on commonly-used bond yield indexes are contaminated in two important ways. The �rst is that th...
[[abstract]]Following the reduced-form models of corporate bond pricing, specifically Duffee (1999) ...
This paper investigates one-year holding period risk premia of U.S. corporate and Treasury bonds. Us...
This paper presents a systematic comparison between the determinants of euro and US dollar yield spr...
This paper attempts to explain the yield spreads charged to new corporate debt issues by comparing t...
We show that credit risk accounts for only a small fraction of the observed corporate-Treasury yield...
We estimate the nondefault component of corporate bond yield spreads and examine its relationship wi...
According to theoretical models of valuing risky corporate securities, risk of default is primary co...
Liquidity risk has been thought to be an important factor affecting bond pricing. However, measuring...
This Master's thesis contributes to the existing literature by studying the relation between credit ...
Existing term structure models of defaultable bonds have consistently overestimated the default prob...
important research question examined in the recent credit risk literature focuses on the proportion ...
Bond Yield Spreads and Country Risk: A Lasting Relationship? This paper investigates whether bo...
This paper investigates how credit spreads respond to changes in the Treasury market and the Equity ...
We examine the relation between credit spreads on industrial bonds and the underlying Treasury term ...
We use the information in credit-default swaps to obtain direct measures of the size of the default ...
[[abstract]]Following the reduced-form models of corporate bond pricing, specifically Duffee (1999) ...
This paper investigates one-year holding period risk premia of U.S. corporate and Treasury bonds. Us...
This paper presents a systematic comparison between the determinants of euro and US dollar yield spr...
This paper attempts to explain the yield spreads charged to new corporate debt issues by comparing t...
We show that credit risk accounts for only a small fraction of the observed corporate-Treasury yield...
We estimate the nondefault component of corporate bond yield spreads and examine its relationship wi...
According to theoretical models of valuing risky corporate securities, risk of default is primary co...
Liquidity risk has been thought to be an important factor affecting bond pricing. However, measuring...
This Master's thesis contributes to the existing literature by studying the relation between credit ...
Existing term structure models of defaultable bonds have consistently overestimated the default prob...
important research question examined in the recent credit risk literature focuses on the proportion ...
Bond Yield Spreads and Country Risk: A Lasting Relationship? This paper investigates whether bo...
This paper investigates how credit spreads respond to changes in the Treasury market and the Equity ...
We examine the relation between credit spreads on industrial bonds and the underlying Treasury term ...
We use the information in credit-default swaps to obtain direct measures of the size of the default ...
[[abstract]]Following the reduced-form models of corporate bond pricing, specifically Duffee (1999) ...
This paper investigates one-year holding period risk premia of U.S. corporate and Treasury bonds. Us...
This paper presents a systematic comparison between the determinants of euro and US dollar yield spr...