Krishnan, C.N.V.; Ritchken, Peter H.; Thomson, James B. - In: Journal of Financial Intermediation 19 (2010) 4, pp. 529-563
Predictions of firm-level credit spreads based on the current spot and forward credit spreads can be significantly improved upon by using the information contained in the shape of the credit-spread curve. However, the current credit-spread curve is not a sufficient statistic for predicting...
