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"We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the definition of the riskless curve. We also find that the nondefault component is time varying and strongly related to measures of bond-specific illiquidity as well as to macroeconomic measures of bond-market liquidity"--National Bureau of Economic Research web site.
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Subjects
Corporate debt, Default (Finance)Edition | Availability |
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Corporate yield spreads: default risk or liquidity? New evidence from the credit-default swap market
2004, National Bureau of Economic Research
Electronic resource
in English
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Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 1/13/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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December 13, 2020 | Edited by MARC Bot | import existing book |
December 5, 2010 | Edited by Open Library Bot | Added subjects from MARC records. |
December 10, 2009 | Created by WorkBot | add works page |