Credit Spread Curves and Credit Ratings
Preprint
- 1 January 2000
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
We develop a bond pair approach to study (1) the shapes (slope and curvature) of individual spread curves, and (2) the relationship among spread curves for bondKeywords
This publication has 10 references indexed in Scilit:
- Modeling Term Structures of Defaultable BondsThe Review of Financial Studies, 1999
- Estimating the Price of Default RiskThe Review of Financial Studies, 1999
- The Relation Between Treasury Yields and Corporate Bond Yield SpreadsThe Journal of Finance, 1998
- An Econometric Model of the Term Structure of Interest‐Rate Swap YieldsThe Journal of Finance, 1997
- Swap Rates and Credit QualityThe Journal of Finance, 1996
- Alternative Tests of Agency Theories of Callable Corporate BondsFinancial Management, 1994
- Rating Drift in High-Yield BondsThe Journal of Fixed Income, 1992
- Realized Returns and Defaults on Low-Grade Bonds: The Cohort of 1977 and 1978CFA Magazine, 1991
- Default Risk and the Duration of Zero Coupon BondsThe Journal of Finance, 1990
- VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONSThe Journal of Finance, 1976