Alexandre, Hervé; Merli, Maxime - Université de Bourgogne - CREGO EA7317 Centre de … - 2000
The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody) while the second results directly from the market price of the bond. This...