paper, through an analysis of the economic capital allocations implied in corporate bond spreads. This is based on a unique … dataset of issuance spreads, ratings and other relevant bond variables (such as maturity, face value, time of issuance and … currency of denomination) including 7,232 eurobonds issued mostly by Canadian, European, Japanese and U.S. companies during …

While extensive research on the relationship between credit risk and spreads has been produced for bonds and loans …. Empirical results confirm the key finding of the model: while spreads increase as ratings worsen for both bonds and loans, the … accounts for informational noise, and differences between bond and loan spreads are explained through the different screening …

high-yield bonds. However, unlike returns on these bonds, emerging market debt returns do not seem significantly correlated …