Do Credit Spreads Reflect Stationary Leverage Ratios? Reconciling Structural and Reduced-Form Frameworks

Preprint

1 January 1999

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.177408

Abstract

In contrast to the empirical findings of Helwege and Turner (1998), existing structural models of default predict that the term structure of credit spreads is d

Keywords

SSRN
DO CREDIT SPREADS REFLECT STATIONARY LEVERAGE RATIOS? RECONCILING STRUCTURAL AND REDUCED-FORM FRAMEWORKS
PIERRE COLLIN-DUFRESNE
ROBERT S. GOLDSTEIN

This publication has 0 references indexed in Scilit: