The Default Premium and Corporate Bond Experience
The Default Premium and Corporate Bond Experience
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违约溢价和公司债券经验
DOI：
10.1111/j.1540-6261.1987.tb02551.x
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发表时间：
1987
影响因子：
8
通讯作者：
Jerome S. Fons
中科院分区：
文献类型：
--
作者：
Jerome S. Fons
通过结合以往的工作，低评级公司债务的违约经验，本文介绍了风险中性模型的风险债券定价，并使用这些来检查之间的关系，违约溢价体现在债券收益率和实际违约率。宏观经济信息对违约溢价的贡献也进行了研究。作者发现，平均而言，低等级债券的持有人因违约而遭受的损失得到了补偿。版权所有1987年美国金融协会。
By incorporating previous work on the default experience of low-rated corporate debt, this paper presents an introduction to risk-neutral models of risky bond pricing and uses these to examine the relationship between the default premium embodied in bond yields and actual default rates. The contribution of macroeconomic information to the default premium is also examined. The authors find that holders of low-grade bonds have, on average, been compensated for losses due to default. Copyright 1987 by American Finance Association.